[問題] confusion related to implied vol
看板CFAiafeFSA (精算師/基金經理人/銀行家)作者Lucas5566 (5566)時間13年前 (2012/02/05 14:13)推噓0(0推 0噓 0→)留言0則, 0人參與討論串1/4 (看更多)
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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※ 編輯: Lucas5566 來自: 175.180.72.103 (02/05 14:48)
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