IV of DJX vs IV of it's 30 Component Stocks

B

Boulder

The IV of the ATM put for the DJX (102 djvsx) is 15.5%.
The average IV of the ATM Puts of all 30 DJIA stocks is 22.9%.
That makes sense.
But when you add up the value of the 30 ATM Puts (1 contract for each stock) you get $2,850.
The value of the DJX Puts (14 DJX contracts to get the same total position value $143,660 as 100 shares of each of the Dow components) I get $2,989...almost the same.
I would think the sum of the individual 30 component puts would have a much greater value due to it's greater IV.
Any Ideas?
 
Quote from Boulder:

The IV of the ATM put for the DJX (102 djvsx) is 15.5%.
The average IV of the ATM Puts of all 30 DJIA stocks is 22.9%.
That makes sense.
But when you add up the value of the 30 ATM Puts (1 contract for each stock) you get $2,850.
The value of the DJX Puts (14 DJX contracts to get the same total position value $143,660 as 100 shares of each of the Dow components) I get $2,989...almost the same.
I would think the sum of the individual 30 component puts would have a much greater value due to it's greater IV.
Any Ideas?
More...

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Boulder;
As a practical matter , including thinking ,planning & commission executing;
would rather do it with one index than 30 or 100 or 500 individual stock options.


Same principal with BIG TRENDS mentioning the phone company having only 7 numbers for phone number.


The plans of the diligent tend only to advantage.
Solomon, trader KING.:cool:
 
Turtle, thanks for your input.

The real question I'm trying to solve is: Why isn't the sum of the individual Dow 30 stock puts much greater than the value of the DJX index puts for the same value of the underlying (approximate $143,000).

The IV of the individual stocks is much greater: 22.9% vs 15.5% for the index's put IV. But the value of the puts is roughly the same ($2,900) for both.

Thanks for any additional insight.
 
Quote from Boulder:


I would think the sum of the individual 30 component puts would have a much greater value due to it's greater IV.
Any Ideas?
More...

there is 7 percentage points difference between the two IVs and 5% difference between the put costs - seems pretty close to me...?
 
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