implied volatility calculation

optionxpress has an implied volatility chart

anyone know how to calculate that implied volatility

their implied volatility chart is same regardless of any options strike put or call

 

Generally it is calculated as an index similar to VIX.

 

To calculate implied volatility you iterate the option pricing variables in an option pricing formula such as Black Scholes.

 

the bsm require some variables like strike price, expiry duration but the one at optionxpress has the same volatility graph for all options strikes. different options strike has different volatility so does optionsxpress average the implied volatility or they r using some model not requiring strike price variables and expiry duration?

 

the chart is the IV on the underlying stock, not individual options. It says it right under the chart. I dont know how they are calculated, taking the average or atm strikes? But the number isnt that important, the chart shows you the IV history and comparison vs historical that's important.

To get IV on individual options, click on the detail link next to it, then it will show you all the greeks and IV number.

If you really want to know how they calculate the chart iv, send an email to support. Optionsxpress has one of the best cs, they will answer it in a day or 2. I have got all my technical questions answered in great detail from their support.

 

All pricing models require those inputs.

"By definition, the implied volatility of an option contract is the volatility implied by the market price of the option based on an option pricing model. In other words, it's the volatility that, when used in a particular pricing model, yields a theoretical value for the option equal to the current market price of that option."

McMillan, a provider of varios weekly IV stats suggests that liquid options close to the money are fairly priced and if you weight their implied volatilities by volume and distance ffrom the money then a single IV a]can be derived for the underlying. How OptionXpress or any other provider determines their number is anybody's guess. As one poster suggested, if you need to know, contact them.