For an upward-sloping yield curve, why does it result in lower call value and higher put value?
If you think about how Pure Expectations Theory explains the shape of the yield curve, an upward-sloping yield curve suggests that future interest rates are going to higher than current interest rates. When rates increase, the values of call options decrease and the values of put options increase.
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Applying the Pure Expectations (Unbiased) Theory was most helpful. Hence when the yield curve is downward-sloping, the values of Put Options decrease versus increasing values of Call Options.
Bingo!