Modeling IV

Discussion in 'Options' started by morganpbrown, Sep 22, 2021.

  1. MrMuppet

    MrMuppet

    Lol, you're like the dude who doesn't understand how lightbulbs work, therefore calls them witchcraft and advocates candles
     
    #11     Sep 23, 2021
  2. Girija

    Girija

    Seriously?....
     
    #12     Sep 23, 2021
  3. @MrMuppet would you mind explaining the x-axis on that cool looking graph that you posted?
     
    #13     Sep 23, 2021
  4. MrMuppet

    MrMuppet

    It's simple: I take call IV for upside strikes and put IV for downside strikes.
     
    #14     Sep 23, 2021
  5. Interesting... Is there "put/call parity" at work there? Having some trouble wrapping my head around this. Why would you not plot the high delta calls (or puts)?
     
    #15     Sep 23, 2021
  6. ondafringe

    ondafringe

    Did you get it figured out yet?
     
    #16     Sep 23, 2021
  7. MrMuppet

    MrMuppet

    Yes, it's put call parity.
    The reason for this is liquidity. Look at the quote of a 90 delta ITM call. I'd rather take the IV of the 10 delta OTM put. The IV figure is the same (put-call parity) but the midprice is much more acurate.
     
    #17     Sep 23, 2021
  8. Atikon

    Atikon

    Fucking lol
     
    #18     Sep 23, 2021
    longandshort and ChipShotTrader like this.
  9. W-M-A

    W-M-A

    #19     Sep 24, 2021
    MrMuppet and morganpbrown like this.
  10. [​IMG]
     
    #20     Sep 24, 2021