Vast IV difference in CE and PE options for far Expiry

F&O
1

Three Questions:

  1. Why Call IV is increasing and becoming almost equal to put IV when contracts are near to expire?

  2. For far Expiry contracts, Why IV of put contract are almost 1.5/2/2.5 times call contract’s IV?

  3. Put contracts of near expiry and put contracts of far expiry has almost same IV. Then why Call contract of near expiry and call contract of far expiry doesn’t have similar pattern.?

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2

@Sensibull Can you reply on this?

3

You are probably using a non-negative interest rate here. Can you please try using Black Scholes with Futures instead of spot and r=0?

5

I am not deriving IV.

Shown IV from nseindia.com option chain.

6

NSE India uses an interest rate of 10%. That is nowhere near any interest rate in this country.

While this can be good for learning theory and all that, Black Scholes with such high r is not used by anyone who actually trades options inside an organization.

1 Like
7

today some backend person has screwed up option-chain
No LTP, hence no ATM/ITM bifurcation

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