偏斜和陰影增量

The presence of skew causes a correlation between volatility and spot. This correlation produces a negative shadow delta for all forward starting products (forward starting options have a theoretical delta of zero).

How does this produce a negative shadow delta? The exact mechanism is not clear to me.

Basically, the author is saying that the delta of an option,

,

where the is the delta assuming constant volatility, the is the vega of the option, and the describes how the implied volatility of the option moves as the spot price moves. This second term is the “shadow delta” being referred to.

引用自：https://quant.stackexchange.com/questions/32529