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+Chapter 34: Futures and Futures Options 685 
+There is another way to look at this data, and that is to view the options' implied 
+volatility. Implied volatility was discussed in Chapter 28 on mathematical applica­
+tions. It is basically the volatility that one would have to plug into his option pricing 
+model in order for the model's theoretical price to agree with the actual market price. 
+Alternatively, it is the volatility that is being implied by the actual marketplace. The 
+options in this example each have different implied volatilities, since their mispricing 
+is so distorted. Table 34-2 gives those implied volatilities. The deltas of the options 
+involved are shown as well, for they will be used in later examples. 
+These implied volatilities tell the same story: The out-of-the-money puts have 
+the lowest implied volatilities, and therefore are the cheapest options; the out-of-the­
+money calls have the highest implied volatilities, and are therefore the most expen­
+sive options. 
+So, no matter which way one prefers to look at it - through comparison of the 
+option price to theoretical price or by comparing implied volatilities - it is obvious 
+that these soybean options are out of line with one another. 
+This sort of pricing distortion is prevalent in many commodity options. 
+Soybeans, sugar, coffee, gold, and silver are all subject to this distortion from time to 
+time. The distortion is endemic to some - soybeans, for example - or may be pres­
+ent only when the speculators tum extremely bullish. 
+This precise mispricing pattern is so prevalent in futures options that strategists 
+should constantly be looking for it. There are two major ways to attempt to profit 
+from this pattern. Both are attractive strategies, since one is buying options that are 
+relatively less expensive than the options that are being sold. Such strategies, if 
+implemented when the options are mispriced, tilt the odds in the strategist's favor, 
+creating a positive expected return for the position. 
+TABLE 34-2. 
+Volatility skewing of soybean options. 
+Strike 
+525 
+550 
+575 
+600 
+625 
+650 
+675 
+Call 
+Price 
+19 1/2 
+11 
+53/4 
+31/2 
+21/4 
+Put 
+Price 
+1/2 
+31/4 ; 
+12 
+28 
+Implied Delta 
+Volatility Call/Put 
+12% /-0.02 
+13% /-0.16 
+15% 0.59/-0.41 
+17% 0.37 /-0.63 
+19% 0.21 
+21% 0.13 
+23% 0.09