# QuantConnect: ATM IV is different for call and put

I am trying to use QuantConnect to run some historical analysis, which involves comparison of skew (more specifically, $$\frac{25\Delta\text{ put volatility} - 25\Delta\text{ call volatility}}{50\Delta\text{ call volatility}}$$ à la Mixon. What troubles me is that I would find, in the data, calls and puts (of same expiry) with near-50 delta having wildly different implied volatilities, which violates put-call parity.

My Algorithm (which generates the data and calculates Greeks via setting option.PriceModel) is as follows. I am reluctant to run my own Greeks as it requires knowledge of future dividends at every time step. Not exactly sure where I am tripping up...

def Initialize(self):
self.SetStartDate(2022, 1, 1)
self.SetEndDate(2022, 6, 25)
self.SetCash(1000000)

self._use_index_options = False

# https://www.quantconnect.com/docs/v2/writing-algorithms/reality-modeling/options-models/pricing#04-Supported-Models
if self._use_index_options:
symbol = "SPX"