Volatilty

[wxytrader]

There is no point to the cell unless you output the mid of the call to the mark or the mid on the quoted put against the complete conversion (cell output = mid on 3-way).

If it's quoting your fill then it should output the no-arb value of the 3-way.

I'll ha e to finish reading Natenberg.

 

[taowave]

Oh boy,I didnt expects this from the guy who thinks BS is BS...

Think on terms of percent of spot,not ITM or OTM when it comes to vol.

On a simpler note,use your noodle..

With the volatility smile otm options have higher IV than ATM options. Shouldn't IV be the same across all strikes since price is linear across all strikes?
Otherwise you are paying relatively more for OTM options versus ITM options when you should be paying relatively less as there is a higher probability of them expiring otm?