confusion related to implied vol - 金融分析師

沒有仔細看你怎麼算

不過 確實是每個 strike 和 每個 maturity day 的 option 都有不同的 implied vol

通常如果你的 broker 有給你報價的話

每個strike 都是有自己的vol 也都不一樣

不過你不會知道人家怎麼算 因為他就寄給你了..

你不知道是 historial vol 還是 implied vol 還是什麼

但反正是這樣沒錯 ..

※ 引述《Lucas5566 (5566)》之銘言：
: I am currently constructing my own option trading strategies
: and models,
: while i encountered some problems of implied vols
: Should implied vols for call and put with the same strike and expiration
: be the same?
: Is there any standardized approach for computing implied vols?
: since I don't know exactly how practitioners compute it
: I carry out the following approach.
: firstly I take the TX futures price and TWSE closing value to
: get the constraint for risk-free rate and dividend yield (approximately)
: I select a group of options traded relatively actively
: (say Feb 7200 ~ 8000 TXO call and put), and use them to calibrate
: the risk free rate and divident yield using put-call parity.
: the result for the closing prices of Sat is
: r=0.00002% and dividentyield(q)=3.12%
: then I use the solver (currently bisection)
: to solve the implied vols
: the problem arises...
: Concerning the same strike price,
: the implied vols of call and put are almost the same for ATM
: but they are different from each other for ITM and OTM options
: For bid/ask implied vols, this situation goes relevant.
: is my approach totally wrong?
: Should I take the divident yield estimate of Bloomberg (if any)
: and CP curve or swap curve for risk-free rate intead of
: refering to put-call parity?
: thanks.

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