Implied volatilities estimated from deep-out-of-money and out-of-money put options are higher than those estimated from deep-out-of-money and out-of-money call options. \citet{Bollen_2004} attribute this difference in implied volatilities to the high demand for out-of-the-money puts by hedgers. Hedgers buy index puts, such as SPX puts, to hedge their portfolios. The demand for puts is especially strong during time of low market sentiment when investors fear potentially increases in the market. In fact, for this very reason the out-of-the-money options were added to the VIX calculation in 2003 (\citet{Whaley2008}). Figure 2 illustrates the implied volatilities during periods of low market sentiment.