OTM puts
OTM calls
60
40
20
0.25
0.20
0.15
0
1200
1400
Strikes
1600
0
1800
0.2
0.4
0.6
0.8
1.0
Delta
600
500
400
Call price
1000
300
200
100
0
1000
1200
1400
1600
1800
2000
Strikes price
0.004
0.003
Density
Price
0.30
Implied volatility
80
0.002
0.001
0
1000
1200
1400
1600
Strikes price
1800
2000