Implied Volatility Skew??

Discussion in 'Options' started by Antihero1776, Mar 12, 2010.

  1. Hi,

    Dose anyone know of any software that can plot a graph of Options Volatility Skew for OTM PUTs and ATM Calls with Between 10 days and 60 days left before expiration?

    I am using a ratio of Strike Price/Stock Price to define ATM and OTM Options.

    ATM Calls = Strike Price/Stock Price Ratio between .95 and 1.05
    OTM Puts = Strike Price/Stock Price Ratio between .80 and .95
    Options Volatility Skew = Volatility of OTM Puts – Volatility of ATM Calls

  2. dmo


    Trying to find off-the-shelf software that looks at skew just the way you do seems a long shot. Probably your best bet is to get an Excel option function add-in package such as Hoadley. That way you can construct spreadsheets that do exactly what you want and display it in the way that makes the most sense to you.
  3. The only historical IV charting I've seen is ATM. and optionetics platinum at least do the ATM historical IV chart
  4. I have a feeling we'll see one of the forum "sponsors" who will chiming in to post their software which I believe does that. I am guessing since a new posted put up this question he's not all that new here and he'll be answering his own question under another name soon
  5. dmo


    Ha ha - oh xflat - you're so cynical! Which is why you're no doubt right on target...
  6. MTE


    Bloomberg professional.
  7. Hi Everyone,

    Thanks for the quick replies!

    Got an e-mail in to Hoadley about excel add on for this. I will check out Bloomberg Professional.
  8. MTE


    As a side note, bloomie costs about $1,800 per month excluding real-time data.