Here at ORATS, we believe in equality of calls and puts. The implied volatilities should be nearly the same. The call delta and absolute value of the put delta should add up to one. The greeks should be the same.

Put call parity should isolate the equivalent premium in the call and put of each strike. With equivalent premiums, the risk can be managed by using consistent greeks.

That is why you will see one delta, gamma, theta, vega, rho and phi number for each strike.

null

 

ORATS works hard to get the best dividends, interest rates, and then solve for the residual rate, sometimes sloping this rate by strike, to figure out the how to line up the calls and puts.

More reading here:

https://blog.orats.com/understanding-options-why-do-calls-and-puts-have-different-implied-volatility

https://blog.orats.com/why-dont-call-and-put-implied-volatilities-match

related posts

Check Options Strategies With Backtesting
Oct
28
Backtesting, options trading, puts, implied volatility

Check Options Strategies With Backtesting

You may see an options strategy with good returns. But how can you get more confidence in the...

Read Post
Early Results from Q3 Earnings Season: Volatility Sellers Taking The First Week
Oct
16
Earnings, News, Options Pricing, straddle

Early Results from Q3 Earnings Season: Volatility Sellers Taking The First Week

With only 2% of firms we track reported, volatility sellers are doing better than buyers for the...

Read Post

We're here, if you need us.

Still curious how we can help you?




LET'S CHAT