The IV of the ATM put for the DJX (102 djvsx) is 15.5%. The average IV of the ATM Puts of all 30 DJIA stocks is 22.9%. That makes sense. But when you add up the value of the 30 ATM Puts (1 contract for each stock) you get $2,850. The value of the DJX Puts (14 DJX contracts to get the same total position value $143,660 as 100 shares of each of the Dow components) I get $2,989...almost the same. I would think the sum of the individual 30 component puts would have a much greater value due to it's greater IV. Any Ideas?
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Turtle, thanks for your input. The real question I'm trying to solve is: Why isn't the sum of the individual Dow 30 stock puts much greater than the value of the DJX index puts for the same value of the underlying (approximate $143,000). The IV of the individual stocks is much greater: 22.9% vs 15.5% for the index's put IV. But the value of the puts is roughly the same ($2,900) for both. Thanks for any additional insight.
there is 7 percentage points difference between the two IVs and 5% difference between the put costs - seems pretty close to me...?