I'm looking at the volatility skew of BHP options in the front month (29 Jul). Most of the time the volatility of ATM call/put matches. The skew is smooth and looks like a nice (almost) symmetric curve.
But sometimes two things happen which I don't understand.
1. The volatility of ATM calls becomes much greater than the volatility of ATM puts. The gap is about 10-20%. It lasts for 10-20 minutes then comes back.
2. The volatility of ITM puts drops to zero from time to time. Sometimes puts bid has zero volatility but the ask is ok. The other times both bid and ask have zero volatility and the puts are traded with no extrinsic values.
What is the reason for this?