p********0
发帖数: 186 | 1 Hi, All:
I am calculating the Implied Volality for Equity Index SPX based on strike/
time to maturity, current price, etc.
I calcualted one for Call Option and one for Put option.
Assume everything is the same, risk free/strike/current/time to maturity,
the IV_call does not match the IV_put, am I missing something? It should
match thoeratically right? | l*****i
发帖数: 3929 | 2 Use OTM options only!
【在 p********0 的大作中提到】
: Hi, All:
: I am calculating the Implied Volality for Equity Index SPX based on strike/
: time to maturity, current price, etc.
: I calcualted one for Call Option and one for Put option.
: Assume everything is the same, risk free/strike/current/time to maturity,
: the IV_call does not match the IV_put, am I missing something? It should
: match thoeratically right?
| x********o
发帖数: 519 | 3 how do you deal with ask-bid spread?
could be one source.
option prices also incorporate future expectation,
this could be another source.
【在 p********0 的大作中提到】
: Hi, All:
: I am calculating the Implied Volality for Equity Index SPX based on strike/
: time to maturity, current price, etc.
: I calcualted one for Call Option and one for Put option.
: Assume everything is the same, risk free/strike/current/time to maturity,
: the IV_call does not match the IV_put, am I missing something? It should
: match thoeratically right?
| x********o
发帖数: 519 | 4 can you explain more about this?
【在 l*****i 的大作中提到】
: Use OTM options only!
| z***e
发帖数: 5600 | 5 You are missing dividends
【在 p********0 的大作中提到】
: Hi, All:
: I am calculating the Implied Volality for Equity Index SPX based on strike/
: time to maturity, current price, etc.
: I calcualted one for Call Option and one for Put option.
: Assume everything is the same, risk free/strike/current/time to maturity,
: the IV_call does not match the IV_put, am I missing something? It should
: match thoeratically right?
| n******m
发帖数: 169 | 6 Validate put-call parity using your data. If it doesn't hold, then you will
not expect same IV.
But if your data has put-call parity, you should get the same IV, then it is
sure that you miss something. | G*********o
发帖数: 2045 | 7 second this, right way to do
【在 l*****i 的大作中提到】
: Use OTM options only!
| z***e
发帖数: 5600 | 8 Put and call with the same strike can not be both OTM, right? :)
If all other numbers are calculated correctly, what is missing are
the dividends. SPX index is essentially a basket of stocks many of
which pay a dividend. SPX dividend is about 20-25 per share
every year. The unexplained gap in put-call parity should be
roughly this number multiplied by time to maturity.
【在 G*********o 的大作中提到】
: second this, right way to do
| l*****i
发帖数: 3929 | 9 所以啊，一半strike用call，另一半用put
【在 z***e 的大作中提到】
: Put and call with the same strike can not be both OTM, right? :)
: If all other numbers are calculated correctly, what is missing are
: the dividends. SPX index is essentially a basket of stocks many of
: which pay a dividend. SPX dividend is about 20-25 per share
: every year. The unexplained gap in put-call parity should be
: roughly this number multiplied by time to maturity.
| n******m
发帖数: 169 | 10 楼上的，为啥要用OTM的呢？能不能稍微解释一下 | z***e
发帖数: 5600 | 11 The original poster was wondering why implied vol from call and put
(of same strike) did not match, which violates put-call parity. I believe
he did not capture the dividends effects so his implied vol calculation
was not accurate.
If you use half OTM calls half puts, they won't have the same strike, and
the
implied vols should not be the same theorectically due to the skew effect.
【在 l*****i 的大作中提到】
: 所以啊，一半strike用call，另一半用put
| g******e
发帖数: 352 | 12 two factors can cause the mismatch
1. american style - put call parity only holds for european options,
for american option the put call parity doesn't hold perfectly, this
will cause somemismatch between call vol and put vol
2. dividend,interest rate - if the dividend, interest rate you used to back
out vol don't equal to the market implied dividend and interest rate, it
will also make you call vol deviate from your put vol.
So small mismatch from 1 is normal ,
but if your mismatch is large, that is usually due to the second case and
your should check your dividend and interate parameter
【在 z***e 的大作中提到】
: The original poster was wondering why implied vol from call and put
: (of same strike) did not match, which violates put-call parity. I believe
: he did not capture the dividends effects so his implied vol calculation
: was not accurate.
: If you use half OTM calls half puts, they won't have the same strike, and
: the
: implied vols should not be the same theorectically due to the skew effect.
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