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. -- ※ 编辑: Lucas5566 来自: 175.180.72.103 (02/05 14:48)