In the article, Augen states that he tracks minute by minute charts. He calculates the IV of the just OTM near the money options because of the noise in the just ITM near the money options (g). IOW, if the stock crosses above the strike, he uses the puts for IV calcs and if it drops below the strike, he uses the calls for IV calcs. It occurred to me this weekend that every BS model I've ever used had a time input in terms of days. How does one calculate IV numbers during the last day of the cycle? Can one adapt the BS model formula in a spreadsheet or must one get/use something else?
Hey Don, You assume that I know what I'm doing in Excel (I'm a long time 1-2-3-er). How would one set up a timer to copy the Excel quotes every 5 minutes into different columns or rows? Spin
It's not too difficult. First record a macro to copy and insert the column/row into your storage space. Using insert will automatically push the prior inserts further into the storage area. Then setup a timer as per this link: http://www.ozgrid.com/Excel/run-macro-on-time.htm If you want email me a sample spreadsheet and I'll set it up for you. Don