VXX put and call IV

Why do VXX put and call's have the same IV?

It jumps to the upside and drifts to the downside. Very dissimilar to a stock.

I don't think this is a "If a tree falls in the forest....question...

Risk reversals would be free insurance.

 

Put-call parity?

Upside skew is huge on VXX, not sure what you're getting at.

 

The maths and concept escape me thus the question.

I just expected more call IV for potential jumps, like small biotech stocks.

For example, the May 17 ATM 42 Calls and Puts are at 48.96 and 48.52. Last on VXX is 41.71.

 

Put call parity.

 

So why doesn't put call parity hold with biotech? Order flow imbalance?

Thanks.

 

It does. The deep ITM put vol will match the deep OTM call vol (same-strike). An arb would occur of the stock is not HTB.

 

Ignore the vol-line and price mid on each option against the underlying.

 

Then why aren't the IVs *exactly* the same? E.g. the ABX May14 17 call's IV is 36.2%, while the put's is only 33.3%

 

Dividends can result in different IVs for calls and puts (dividends can change the effective moneyness and expiration). Also, if a stock is hard to borrow, put-call parity doesn't necessarily hold.

 

Dividends, or the last sale is away from current spot. Models aren't real life. A violation of put-call parity will result in the conversion/reversal. Whether the model-inputs are accurate is immaterial to the arbitrage.