[RT] SPY SKEW

["Jacobson, Alex" <ajacobson@xxxxxxx>]

Title: SPY SKEW

There really should never be a material difference between many put and calls strikes. It raises two questions. First do we see the same skew in the SPX and second are my Greeks sourced correctly. I very much suspect that these greeks are simply wrong. Index options price from the implied forward and not the cash. This is also true for the ETF options on the index products and generally when you see material skew puts versus call ATM and near ATM the vols may simply be wrong. I would source the vols from another source just to make sure
Alex Jacobson. Sent From My Blackberry. 1(917)2243711

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