I'm calculating the volatility of an options market (description of market below) by fitting 2 functions:
1. fitting the on book call prices
2. fitting the on book put prices
And I'm getting a strange result: the volatility of each function is different i.e. the volatility for the calls isn't correlated to the volatility of the puts which in turn means the call and put (on the same strike) have different vega values. My question is, is this some kind of mistake on my part ?
- Side note the mean of the functions do move together.
Market description: Index options market in a market that has no futures. the options series expires in 22 days.