implied volatility

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

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

    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. people aren't here to do the work for u

    find an online calculator and figure it out
  3. ?....The implied volatility is not "fixed" across all option strike prices and expirations. Some of the "variation" can be explained by skew. :cool:
  4. If you have a decent broker, IV is provided to you in real-time. No need to calculate anything these days.
  5. Yes. The real issue isn't calculations, it's correctness of data, especially for less-liquid options.
  6. 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. 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. 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