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I discussed recently with a trader who told me that put options are priced using historical vol, and call are priced using the implied one.

My guess would be that as the put option market is much more deep and liquid, using the historical vol could make sens. Conversely for call option considering the much less liquid market.

Any idea on this one? I stuck on having a proper argument on that one. Thanks !

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  • $\begingroup$ What asset class? Generally, this does not make sense in my opinion. Also, a call and put with the same strike will have the same (I)VOL, at least theoretically, and certainly if you are pricing with IVOL as an input. $\endgroup$
    – AKdemy
    Mar 23 at 12:56

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I never heard that, and it sounds a bit like circular logic - IV is ALWAYS the vol derived from back-solving from price, so by definition, ALL options are "priced" using IV. I imagine there is a bit more nuance lost in the question you posed? In some assets classes, option prices may quoted in terms of Vol (FX), perhaps that is what the trader tried to communicate to you?

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