SPX implied volatility higher than SPY

Discussion in 'Options' started by Occam, Oct 31, 2020.

  1. newwurldmn

    newwurldmn

    that would be a model error.

    The only difference in price between spy and spx should be American vs European and the dividends. However a proper implied volatility model should account for both.
     
    #11     Nov 2, 2020
    eternaldelight and ajacobson like this.