In option back test, how to calculate volatility?

Zwaen · Jan 15, 2024

trend2009 said:
I bought option historical data. When I do backtest, I need to calculate implied volatility and Greeks. The problem is that in option price formula, it needs interest rates and dividends, which is too complex to obtain for each stock. If I assume rate and dividend are zero, does it affect option strategies like butterfly and vertical spread?
More...

Do you use the data to find something in the options(or combinations) or use the options as "instruments" for strategies?

trend2009 · Jan 17, 2024

Zwaen said:
Do you use the data to find something in the options(or combinations) or use the options as "instruments" for strategies?
More...

both

Log in or Sign up

In option back test, how to calculate volatility?

Zwaen

trend2009