Hi, I am a marketmaker in one of the major indices in europe ,and I see really interesting volatility smiles with the change in the underlying... I use a rolling skew,ie ..changing the atm wrt underlying price.But still it doenst suffice to fit my curve to the market prices at all times. There are always certain puts/calls under pressure,certain ones are bid heaviliy, which are almost impossible to fit in a logical(what is logical??..) volatility curve. Do you guys know any literature related to the behaviour of the smile wrt dramatic changes in the underlying..like we are experiencing during the last weeks. cheers, a note: last week i observed a funny characteristic of the market: say index is 1000. they sell 1120 call(%12 up) at 2.5.... index goes to 950..they try to buy the same call at 3. all volatility..looks stupid but it is all about the atm volatility and the vol smile....retail investors can make or loose huge amounts of money if they are not aware of this fact..