<t>Hi All, I implement Avellaneda's paper "Reconstructing volatility" for reconstructing the index implied vol skew using underlying stocks' implied vol skew. But for DJX index the results are not satisfactory.The skew of reconstructing vol skew is much smaller than the market value, I mean much low...

near the ATM, the implied vol calculated from put option is always lower than the implied vol from call. I weighted the two implied vol to make the skew smooth. but I am not sure how the implied volatility skew was obtained in many published papers.thanks~

<t>Hi guys, I want to draw the DJX index implied volatility skew, I got the call and put prices for different strikes and use only the OTM options to calculate the implied vol which means using put for small strikes and call for larger strikes. but I found that the implied volatility skew always dis...