a**m 发帖数: 102 | 1 For given forward and strike, are the vols for call and put options
identical in the Black-Scholes formula? What if forward is equal to strike,
i.e., ATM? | s*z 发帖数: 37 | 2 If you mean if the implied vol of call and put is the same, then yes. From
call-put parity, since the market vol of call and put is the same (same
underlying), the implied vol of call and put is the same as well. | a**m 发帖数: 102 | 3 Why are market vols of comparable call and put options the same?
As far as I know, traders mark slightly different vols for comparable calls and puts.
【在 s*z 的大作中提到】 : If you mean if the implied vol of call and put is the same, then yes. From : call-put parity, since the market vol of call and put is the same (same : underlying), the implied vol of call and put is the same as well.
| s*z 发帖数: 37 | 4 I thought the vol of call and put be the same because the vol is actually
the vol of the same underlying asset.
I'm interested in why the traders mark the vols differently. And telling
from the original question, this difference seems depending on whether the
option is in-the-money or out-of-money... | w*****e 发帖数: 197 | 5 C - P = S - KD where D is the discount factor from riskless bond.
And implied vols are the same for vanilla calls and puts
of the same strikes. This is always guaranteed as long as you
back out vols with the BSM formula.
However, most puts are american. So in reality this is not
true in general. But in a lot of cases, when you know puts
are not going to be exercised for the foreseeable future.
This still holds approximately, and I was told it was profitable
trading around parity in the old days.
Vanilla markets are really driven by supply and demand. So
marking up or down is really up to traders' judgment. If you
are talking about exotics, the story will be different.
,
【在 a**m 的大作中提到】 : For given forward and strike, are the vols for call and put options : identical in the Black-Scholes formula? What if forward is equal to strike, : i.e., ATM?
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