Is it possible to calculate Implied volatility, i one have no hystory data

Discussion in 'Data Sets and Feeds' started by tender_andy, Mar 25, 2003.

  1. so, no hystory for Option price, but the underlying price hystory available

    and Implied volatility calculation required

    with regards
  2. To calculate implied volatility you need these: underlying price, option premium, strike price, days to exptration, risk free interest rate(treasury bill rate) and cost of carry. You have to make sure option premiums and underlying price are collected at the same point of time. Good luck.
  3. chisel


  4. You could also tailor the vix with a multiplier for your uses as it is calculated directly from IV's.