General Topics
Markets
Technical Topics
Brokerage Firms
Community Lounge
Site Support

# implied volatility

Discussion in 'Options' started by clarodina, Dec 10, 2010.

1. ### clarodina

Is the calculation of implied volatility correct for the excel on the webpage below:

http://www.gummy-stuff.org/implied-volatility.htm

Because putting all the variables on the excel for other symbol like intc amd msft the excel file implied volatility is quite different from the figure on optionxpress or other sources. The different is around 6-8% what is the differences about?

2. ### TheoHornsby

people aren't here to do the work for u

find an online calculator and figure it out

3. ### nazzdack

?....The implied volatility is not "fixed" across all option strike prices and expirations. Some of the "variation" can be explained by skew.

4. ### jwcapital

If you have a decent broker, IV is provided to you in real-time. No need to calculate anything these days.

5. ### Rodney King

Yes. The real issue isn't calculations, it's correctness of data, especially for less-liquid options.

6. ### panzerman

The difference could be the underlying algorithm they use (Newton-Raphson vs. Bisections vs. other), or less likely, whether they use a BS or binomial pricing model.

7. ### Rodney King

Huh?... Assuming they're all reporting BS, there can't be differences of the magnitude 6- 8% (as reported by OP -- though it's unclear if he means "6- 8 vol points" or "6- 8% of the option px") except maybe for some weird edge-cases.

8. ### spindr0

If the OP provided clear data and his calculations, the discrepancies could be determined. But he doesn't. So it becomes tangential speculation.

It's usually best to contact the provider to determine their MO. For example, in their option chains, OptionXpress uses an average of the B/A to determine IV. So for example, if scanning skew possibilities, the threshold has to be higher because if spreading, real time is going far less attractive.

9. ### Rodney King

You're right. Shame on me & the others who wasted neurons on this. If OP lacks the IQ to present a clear, reproducible example, there's really nothing to say and no reason to say it.

10. ### JPope

Do any of you guys use charting with options? How about charting implied vol, either for specific strikes or for a commodity month in general?

#10     Dec 14, 2010
ET IS FREE BECAUSE OF THE FINANCIAL SUPPORT FROM THESE COMPANIES: