沒有仔細看你怎麼算 不過 確實是每個 strike 和 每個 maturity day 的 option 都有不同的 implied vol 通常如果你的 broker 有給你報價的話 每個strike 都是有自己的vol 也都不一樣 不過你不會知道人家怎麼算 因為他就寄給你了.. 你不知道是 historial vol 還是 implied vol 還是什麼 但反正是這樣沒錯 .. ※ 引述《Lucas5566 (5566)》之銘言： : 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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