More efficient way to estimate IV?

Discussion in 'Options' started by Rocko1, May 20, 2007.

  1. Okay. that must have been a glitch then. Or maybe the coupling is correct for mainstream indexes like DJI and SP and not for Dutch EOE/FTA options that I use mainly. I'll inspect again later. Thanks for replying.

    #11     May 21, 2007
  2. ((0.5*(ATMCall+ATMPut))/ATMStrike) * 1/(0.4*strt(T))

    Since, for any expiry, the second tern is a constant
    (for the Jun expiry, for example, it is approcimately
    10), you can do this in your head.

    It is a rough estimate, and will come in a little high.
    Especially for American style options.

    This approximation has a name, but I can't remember
    it offhand. I have used it as a starting point for Newton
    #12     May 22, 2007
  3. Rocko1


    Thank you very much that's exactly what I was hoping to find.
    #13     May 22, 2007