IV sucks and SPY is diversified and has a higher IV. With PG you have risk of one stock VS 500, and better compensation on the SPY options, including better liquidity.
Well, I guess the market thinks that a stock such as PG carries less risk than SPY. Interesting, yes...mispriced, probably not.
?....PG had been quite range-bound, a premium-sellers delight, until Thursday. It has the bad luck of being one of the most-mentioned stocks from last week's meltdown. It would have been more "just" if GS or BP had tanked instead.
I still do not get the low IV's PG could go out of buisness, SPY is 500 stocks so no single equity risk. PG could get sued, or some new CEO comes in ala TYCO style and do all kinds of bad stuff to take the company down etc.. but SPY represents 500 companies so PG is 1/500th of the risk there.
PG is not the only stock with options trading @ lower IV than SPY. There is also PEP, KO, MCD and etc. Financials are a big part of S&P 500 hence the market perceives them as higher risk.
PG is much less risky than the average stock in SPY so why shouldn't it have lower IV? Heck, PG is less likely to go bankrupt than the U.S. government.