We believe it makes more sense to have a dynamic beta strategy than sticking with a pure low vol/low beta approach: bsam.com/the-case-for-a… It is also a good way to manage risk for people that want to be fully invested in equities as opposed to traditional tactical strategies
@EmanuelDerman@KYB11@BlueSkyAssetMgt I agree with you that it is technically called volatility smile asymmetry, but it can be termed skew under the assumption that the delta for call and put in the spread is not equal.
@EmanuelDerman@BlueSkyAssetMgt To clarify a high call-put implied volatility spread implies that call option prices exceed put option prices and P/C parity. Ofek et al (2004) claim that this happens when irrational investors move the stock prices (not option prices) away from fair value due to arbitrage limits
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