25 delta call IV / 25 delta put IV
- Thread starter saisai
- Start date
Here's a similar shot of the ES S&P future contract, from Friday pm.
The green "Vxs" are the VIX9D for the first obs, and the VIX thereafter.
The blue and red (puts and calls) are tracking |0.15|-δ strikes.
There is usually *much* more variation than is seen here -- almost weirdly flat.
Basically, the same thing you've observed in AAPL is observable here.
It's common.
It's a matter of 1) how the claimed vol-index is computed, and of 2) skew.
It's worth watching. (And if you're selling options over various expiries, it's *really* worth watching.
)
I do find it interesting that, while the ES VIXs tend to hang out at/above the PUT 15-δ IV, in your AAPL data, the "IV" is camped near the lower CALL IV. So, I'm guessing that it's not the VXAPL? Not to crowd your graph, but it would be worth putting up.
(HA! I went and looked up AAPL's beta: 1.24-ish -- so there's one explanation.
)
How to use these data? That's a book-length treatise. You might shortcut that with Youtube, though...
The green "Vxs" are the VIX9D for the first obs, and the VIX thereafter.
The blue and red (puts and calls) are tracking |0.15|-δ strikes.
There is usually *much* more variation than is seen here -- almost weirdly flat.
Basically, the same thing you've observed in AAPL is observable here.
It's common.
It's a matter of 1) how the claimed vol-index is computed, and of 2) skew.
It's worth watching. (And if you're selling options over various expiries, it's *really* worth watching.
)I do find it interesting that, while the ES VIXs tend to hang out at/above the PUT 15-δ IV, in your AAPL data, the "IV" is camped near the lower CALL IV. So, I'm guessing that it's not the VXAPL? Not to crowd your graph, but it would be worth putting up.
(HA! I went and looked up AAPL's beta: 1.24-ish -- so there's one explanation.
)How to use these data? That's a book-length treatise. You might shortcut that with Youtube, though...
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In general you might notice that OTM puts retain higher relative IVs and OTM calls retain loawer relative IVs .
i know it, but what is the purpose to use 25 delta call IV/put IV in option trading?
any example?
many thanks
Saisai