I am trying to fit an implied volatility curve for options on the SSE 50 etf that has no borrow (no short selling allowed) and pays a single annual dividend. I originally thought I could use the future price (maturity is 5 days before the option with the same etf underlying) but the curve does not fit since the futures are in backwardation and the implied forward price from the options is higher than the etf spot. I do not know what the expected dividend yield is which is why I tried to calculate them from the forward- intraday it seems to vary a lot (positive and negative) based on the option implied forward.
future px = 2.5903
etf spot = 2.6329
option implied forward = 2.6574
I'm using the following equation:
d = r - ln(F/S) / tau
How should I be calculating the forward spot for a discrete dividend no borrow stock so that my put and call vol are somewhat aligned?