I was wondering if anyone is using put call parity to find the fair trading price of SPX options

I was watching a presentation by JL Lord at Stratagemtrading about synthetics and put call parity and at one point he was talking about SPX and gave an example which I found using Think back in TOS This was on 5/26/2017 looking at the May 30 expiration which was expiring in 4 days

So the closing price on that day for SPX was 2415.82 and the 2375 strike that he was looking at the calls were 35.60/44.40 bid/ ask and the put ask was 0.20

So the question was what is the fair price for this call option to sell ?

So according to the formula LC=S-K-SP so that's the stock price 2415.82 - strike price 2375 - the short put 0.20 =40.62 which was close to the mid of 40 if you calculate it and the last on TOS was showing 40.07

He was kind of joking and saying that you are giving away too much money if you place your order at the mid and that the order will be filled in milliseconds if you do

I have to somewhat disagree with that

Perhaps that would have worked with that particular strike but in reality I find that sometimes I get filled at the mid but if I try to get a little more I do not get filled and sometimes I have to give them 5-10 cents to get filled but to get filled 60 cents better than the mid I find that a little hard to believe

Also looking at some of the strikes closer to the money the put call parity formula makes even less sense

Calculating for the 2410 strike the call bid/ask is 6.70/7.50 and the put ask is 2.25 so using the formula 2415.82-2410-2.25=3.57 while calculating the mid comes to 7.1 which is the same last price on TOS

So in this case you would get filled at a worse price than the mid so unless I am missing something this put call parity formula to get the fair price for the option is not valid unless someone can prove to me otherwise

I was watching a presentation by JL Lord at Stratagemtrading about synthetics and put call parity and at one point he was talking about SPX and gave an example which I found using Think back in TOS This was on 5/26/2017 looking at the May 30 expiration which was expiring in 4 days

So the closing price on that day for SPX was 2415.82 and the 2375 strike that he was looking at the calls were 35.60/44.40 bid/ ask and the put ask was 0.20

So the question was what is the fair price for this call option to sell ?

So according to the formula LC=S-K-SP so that's the stock price 2415.82 - strike price 2375 - the short put 0.20 =40.62 which was close to the mid of 40 if you calculate it and the last on TOS was showing 40.07

He was kind of joking and saying that you are giving away too much money if you place your order at the mid and that the order will be filled in milliseconds if you do

I have to somewhat disagree with that

Perhaps that would have worked with that particular strike but in reality I find that sometimes I get filled at the mid but if I try to get a little more I do not get filled and sometimes I have to give them 5-10 cents to get filled but to get filled 60 cents better than the mid I find that a little hard to believe

Also looking at some of the strikes closer to the money the put call parity formula makes even less sense

Calculating for the 2410 strike the call bid/ask is 6.70/7.50 and the put ask is 2.25 so using the formula 2415.82-2410-2.25=3.57 while calculating the mid comes to 7.1 which is the same last price on TOS

So in this case you would get filled at a worse price than the mid so unless I am missing something this put call parity formula to get the fair price for the option is not valid unless someone can prove to me otherwise