How is options implied volatility for a stock determined?

Discussion in 'Options' started by Luis Cruz, Oct 7, 2016.

  1. So TWS uses linear interpolation of strike-volatility for options of a given maturity, then linear interpolation of variance between maturities. Standard (and simple) stuff.

    I use that too, but also several advanced volatility models which again:
    - start with the fundamentals
    - make sense analytically (mathematically)
    - are actually confirmed trough backtests
     
    #11     Oct 9, 2016