calculator to derive IV skew from VIX

Discussion in 'Options' started by blackjack007, Apr 17, 2009.

  1. does anyone know of a calculator that, given a VIX value and other parameters like expiration date, can generate a best-guess IV skew and prices for a chain of SPX options?
  2. Huh? Given that VIX is an estimator based on prices of both calls and puts, how do you expect it to be possible to reliably imply the skew just from the VIX/expiry/ATM? Unless you make some arbitrary assumptions, it's not a well-formed problem.
  3. dmo


    Martin above is correct, the approach suggested makes no sense.

    If you have a set of Excel option add-in functions such as Hoadley, this is easy to do directly.
  4. The VIX is a cooked-down number. Relative IVs for the various strikes and expirations have to be calculated individually based on price, etc.

    There are many tools to do this. Hoadley's is one, another is OptionsOracle.