stevegee58, That was perfect really! I will try out that code. I have implemented this library and I will be able to implement more greeks to the...
Yes, I am looking at end-of-day figures at the moment. I did get from a response from another post a library in C# where it is possible to get the...
Hello, I am using a formula to return the implied volatility for a CALL option. However, the formula I use does not work use to return the PUT...
Ofcourse there has to be formulas. What is implemented in C# is based on formulas. I do code in C# and wonder if you know any code implementations...
Hello, I am looking for calculations for as many greeks as possible in the "Black-Scholes" I have found calculations here:...
I am not sure what you did here. For example if the daily bars LAST price of AAPL is at 117 and we look at strike 114 which has a MIDPOINT value...
I think that would be possible if you wrote a script. If you put the VIX in memory and then read in each options IV in memory and then compare...
I use the Midpoint between Bid-Ask as the option price to determine the IV for each option. But I don't use that as a constant IV for the duration...
>> then you can estimate the IV input at the high and low price points of the underlying by also making use of the >> High/Low prices of the...
That is good news. I am not sure how we would recompute this in my example to do it correctly?
I am thinking of an example. If looking at this picture: http://www.bilddump.se/bilder/20161013174825-195.252.32.111.png Assume at entry the...
Hello, I wonder if it is possible to calculate from daily bars what a specific strike prices bid/ask/last values could have been when the...
I am creating a backtesting software so I need to calculate the breakeven point somehow. Analytical softwares will not help in this case I...
I am not exactly sure how you ment. When accounting for timevalue, what scenarios can that mean. Can that mean that we can suffer a great loss on...
Hello, I wonder a little about the breakeven point for a Bull credit spread. Let us assume the below for AAPL (Liquid options) Current spot...
Thanks, yes I will try to interpolate, that should do it!
Yes, I noticed that the difference is extremely small. I just got this thing to eliminate small errors here and there. But perheps it is safe to...
I still wonder a little if I really use the correct interest rates from here: http://www.federalreserve.gov/Releases/h15/data.htm Is there an url...
Is 1% for one entire year? Then for example 0.33% is for 3 months? I may overcomplicate it but I am determined to anyway calculate this exactly....
Hello, I use the "risk free rate" when calculating with the "black-scholes option pricing model". In that formula "Days to expiration"(DTE) is...
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