How to calculate daily Implied Volatility?

Discussion in 'Options' started by Sure Chap, Dec 18, 2015.

  1. Good stuff. So the way I do it right now is "on the clock." My pricing spreadsheet uses minutes to expiration. I'll usually reprice hourly or as needed. The main question I have concerns weekends. The way I do it now is starting on Thursday, I'll tweak my clock to begin removing an extra day (Saturday). By the close on Thursday, Saturday has been removed. Same thing on Friday. By close on Friday, my time to expiration is now showing Sunday evening (when futures will reopen).

    Is this a reasonable approach or is there a superior way in your opinion?
     
    #21     Dec 20, 2015