Same underlying, same strike, same expiration. One is a covered call, the other is cash secured put.

These are screenshots taken from a website. As you can see, they are similar, but the max win levels are different.

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The implied vols seem to be different. Is this simply due to the two options having slightly different liquidity?


1 Answer 1


In theory, Calls and Puts should have the same IV via Put-Call Parity. However, sometimes they do not exactly obey:

  • Are the options American? American options do not obey PCP (Why is IV different between put and call of same strike)
  • Perhaps just due to demand and supply they do not obey PCP. In this case, I see that the prices of the two strats are the same? But via PCP (I guess the current spot price is 136.8):

\begin{equation} C - P = S_0 - Ke^{-r(T-t)} = 136.8 - 130.0 = 6.8 \end{equation}

Therefore, the call should be above the price of the put by 6.8 to have the same IV. That's just my intuition on your problem, please feel free to correct/clarify/add more details/inquiries.

  • 1
    $\begingroup$ It's a single stock option, and those tend to be American IIRC. It means you have potential exercise when there's a dividend. Perhaps that is what is at play? $\endgroup$
    – Carlos
    Jan 22 at 18:17
  • $\begingroup$ Yup, then since American options do not obey PCP, they should not have same IV. $\endgroup$
    – KaiSqDist
    Jan 23 at 2:36

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