Asymmetric Responses of Volatility to Market Changes and Volatility Smile of Options in Thailand Futures Exchange

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Chanidapa Bungswang
Ravi Lonkani
Woraphot Khunaprasit


This paper studied the asymmetric responses of volatility to market changes and the volatility smile of options in the Thailand Future Exchange (TFEX) by studying the relationship between realized volatility and implied volatility of SET50 Index Option. Furthermore, this paper studied the patterns of volatility surface in each moneyness of options. The results found the volatility smiles indicating that implied volatility of in-the-money call option showed upward trend. On the contrary, implied volatility of out-of-the-money call option showed less tentative compare with in-the-money option, due to downward slope characteristic. Furthermore, volatility surface for each moneyness has different shape depended on its response of implied volatility to moneyness and to time to maturity.


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Bungswang, C., Lonkani, R., & Khunaprasit, W. (2019). Asymmetric Responses of Volatility to Market Changes and Volatility Smile of Options in Thailand Futures Exchange. WMS Journal of Management, 8(3), 50-62. Retrieved from
Research Articles-Academic Articles
Author Biographies

Chanidapa Bungswang

Master of Science in Finance, Faculty of Business Administration,
Chiang Mai University

Ravi Lonkani

Finance and Banking Department, Faculty of Business Administration,
Chiang Mai University

Woraphot Khunaprasit

Long-Term Fixed Income Investment Department of
Siam Commercial Bank Asset Management


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