Yes exactly. By call-put parity you have, for a given strike K and maturity T, with sigma the Black-Scholes (BS) implied volatility from the call price: put_price = callBS(sigma) + K.exp(-r.T) - S = putBS(sigma) So the BS implied volatility of the put is equal to the BS implied volatility of the call.
Really interesting thank you for this video, waiting for part 3 to discuss calibration and pricing
Great explanation thank you ! waiting for part 3.
When is part 3 going to come out?
Part 3 please🥹🥹🥹
How are you able to discern the put/calls on the same volatility curve? Put/call parity?
Yes exactly.
By call-put parity you have, for a given strike K and maturity T, with sigma the Black-Scholes (BS) implied volatility from the call price:
put_price = callBS(sigma) + K.exp(-r.T) - S = putBS(sigma)
So the BS implied volatility of the put is equal to the BS implied volatility of the call.