APPLE vol surface in R... stuff ive been fooling around with.. <a href="http://www.flickr.com/photos/93790705@N06/8530340752/" title="ivxdelta by cdcaveman, on Flickr"><img src="http://farm9.staticflickr.com/8528/8530340752_00f331f55c_b.jpg" width="911" height="737" alt="ivxdelta"></a>
The graphs look cool but I never understood the point of them. It's not like you will look at it and say, "the June 515 strike is cheap"
my only comment is that if i'm looking at the 50 delta on your chart, i am seeing vols for each maturity > 50, and in one case over 100. is your calc right?
i just grabbed all the puts over the entire term structure.. i could trim it back to atm .50 delta.. the entire point of this was merely an exercise..... i know it sort of looks cool and novel.. but it might not have practical use.. but as i become more proficient with R... maybe i'll have more interesting questions to ask the data.. as for the calcs being right.. i'm not sure .. i'll look into it
i get that u pulled all of the puts over the entire term structure, on the top graph, each curve is supposed to represent an expiry, right? i only said 50 delta beacuse looking at your chart labels, the x axis has delta, and looking at 50 delta on your graph i'm seeing the vols i stated. am i looking at it wrong?
basically its all wrong.. i'm not passing a function i am using from Quantlib the right shieettt... its looking at it as if its one maturity..5/12 .. its looking at it as if the price of the underlying is 459 with yesterdays options prices.. needs some tweaking the function .. getIV <- function(type, value, underlying, strike,dividendYield, riskFreeRate, maturity, volatility, timeSteps=150, gridPoints=151) { AmericanOptionImpliedVolatility(type, value, underlying, strike,dividendYield, riskFreeRate, maturity, volatility, timeSteps=150, gridPoints=151)$impliedVol } #params sent to it puts$IV <- mapply(getIV, value = puts$Ask, strike = puts$Strike, MoreArgs= list(type='put', underlying=459.99,dividendYield=0, riskFreeRate = 0.01, maturity = 5/12, volatility = 0.5 ), SIMPLIFY=TRUE)
your right.... the calcs are way off i gotta mess with it some more.. i'd like to come up with something of a decent particular use to us.. i keep thinking about looking at a surface of the vix curve.. something like the z axis being the price action of every expiration.. the x axis being expiration's.. and y be the vix price/expiration.. so you can see how the curve has evolved over certain time periods on a surface.. idk just thinking
For people with Interactive Brokers or generally interested in strategies, there is also this new Linkedin <a href="http://www.linkedin.com/groups/Interactive-Brokers-Traders-Fund-Managers-4932221" >group</a>