SK10

Hello Everyone ,

ATMF strike is =100 i vol 24.3%
100%-10%*sqrt(t) ,t 35 dey to Expiration. strike =96.9% i vol 26.5%.

What is the formula to give me vol ,for strikes 99%,101% ,104% ?

Thank you !

 

You have use a root-solving algorithm for each strike and option price to solve for IV.

 

Hi timbo ,

Can you give an example in Excel, with a simple algorithm ?

Thank you !

 

I don't use excel that much, so no formula. Excel has a solver routine that lets you pick a formula cell and target cell which it will iterate to solve for the value. IIRC, it is part of the add-on package.

 

Hi timbo ,

I heve 100% ,96.9% ,I need more strike ? What is the additional strike, so I can make Interpolation ?
I understand that I get to model Vanna-Volga, but with the other points?

Thank you !

 

It's all the help of Forum Members ?

 

7 years, 20 posts : all off them asking for help and not one contributing to others?

 

I wish I was your level, and could contribute to others !