We study the dependence of volatility on the stock price in the stochastic
volatility framework on the example of the Heston model.To be more specific, we
consider the conditional expectation of variance (square of volatility) under
fixed stock price return as a function of the return and time. The behavior of
this function depends on the initial stock price return distribution density.
In particular, we obtain the "smile" effect near the mean value of the stock
price return. For the Gaussian distribution this effect is strong, but it
weakens and becomes negligible as the decay of distribution at infinity slows
down.