Explanation

Statement A is incorrect because:

• Currency options typically exhibit a volatility smile where both out-of-the-money (OTM) and in-the-money (ITM) options have higher implied volatility than at-the-money (ATM) options
• The statement incorrectly claims that ATM options have higher implied volatility than away-from-the-money options, which is the opposite of what actually occurs in currency markets

Statement B is correct:

• Volatility frowns (or reverse smiles) can occur when there are jumps in asset prices, particularly when jumps are more likely in one direction

Statement C is correct:

• Equity options typically exhibit a volatility smirk (or skew) where low strike price (OTM put) options have higher implied volatility than high strike price (OTM call) options
• This reflects the market's greater concern about downside risk and potential crashes in equity markets

Key Differences:

• Currency options: Symmetric volatility smile (higher volatility for both OTM calls and puts)
• Equity options: Asymmetric volatility smirk (higher volatility for OTM puts than OTM calls)
• Volatility frown: Reverse pattern that can occur with jump processes