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Looking e.g. at Natural gas futures options, I see for June contracts (expiration 25th May) the follwing data:

Call 4.3 (26.8% difference to Underlying) 36.2% IV and a delta of 0.04

Put 2.5 (26.3% difference to Underlying) 40.7% IV and a delta of -0.02

I would have expected that the absolute value of the delta of the Put would be higher than that of the call due to the fact the difference to the underlying of the put is smaller (only even slightly) and the IV of the Put is higher. But it is the opposite. What is the reason, please? Thank you

Edit:

I got a couple of downvotes and I am not sure why. It is similar to the second question of this post (Call vs. Put Option) and judging by the answers, there was some discussion about it. On a sidenote, I think it is a questionable attitude to downvote questions (until now I was not even aware that that is possible. On the tour of quant exchange there is no word about it), especially if the guys who are doing it, feel even above to explain why they did.

If you think a quesion is too basic (or too stupid) why not just ignoring it. This downvoting has a rude and arrogant character, in my opinon.

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  • $\begingroup$ May I ask what you use for the underlying (spot or future)? and what the actual value is. $\endgroup$ – noob2 Apr 5 '17 at 14:56
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    $\begingroup$ Natural Gas June Futures, price is 3.3745 (mid) at the moment $\endgroup$ – Ultimate LaForsch Apr 5 '17 at 15:51
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    $\begingroup$ One explanation I found now, is the skewness of the log-normal price distribution assumption of the Black-Scholes pricing model. For a more detailed explanation see the answer of Matt Wolf here (quant.stackexchange.com/questions/7880/call-vs-put-option). $\endgroup$ – Ultimate LaForsch Apr 6 '17 at 9:41
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The reason for different absolute deltas (and prices) for OTM-call- and -put-options with exactly the same characteristics (same absolute distance from strike to underlying price, same IV, etc.) is twofold:

  1. The effect of interest rates. Ceteris paribus higher interest rates lead to higher call prices and lower put prices due to opportunity costs

  2. The skewness of the log-normal price return distribution assumption of the Black-Scholes pricing model.

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