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stevegee58, That was perfect really! I will try out that code. I have implemented this library and I will be able to implement more greeks to the existing code. Thank you for that help!

Yes, I am looking at end-of-day figures at the moment. I did get from a response from another post a library in C# where it is possible to get the implied volatility: http://www.risk256.com/code I tried both the call and put option and I returned 19.7% and 17.3% on the same strikeprice ATM so...

Hello, I am using a formula to return the implied volatility for a CALL option. However, the formula I use does not work use to return the PUT options implied volatility. When inputing the PUT option price in the formula, I return a completely wrong value. So another formula must be used for...

Ofcourse there has to be formulas. What is implemented in C# is based on formulas. I do code in C# and wonder if you know any code implementations for all the greeks in my first post? I beleive we could say that we should have the american formulas?

Hello, I am looking for calculations for as many greeks as possible in the "Black-Scholes" I have found calculations here: http://www.wilmottwiki.com/wiki/index.php?title=Call_option When reading, they states: "The value of a European call option in the Black-Scholes world is..." I wonder...

I am not sure what you did here. For example if the daily bars LAST price of AAPL is at 117 and we look at strike 114 which has a MIDPOINT value of 0.62. The our goal is to find out what the MIDPOINT of strike 114 was when AAPL was at 115 during the day. Then we would need to know what the IV...

I think that would be possible if you wrote a script. If you put the VIX in memory and then read in each options IV in memory and then compare each option against the vix for the same period/date(s). I think you are looking for divergence? That is very interesting.

I use the Midpoint between Bid-Ask as the option price to determine the IV for each option. But I don't use that as a constant IV for the duration of that day. I thought of that to that the high and low IV is not the same which would be the entire problem. As you say, it seems that we need the...

>> then you can estimate the IV input at the high and low price points of the underlying by also making use of the >> High/Low prices of the "VXAPL". I wonder there if the "VXAPL" is neccesary? I am thinking of if having 40 stocks/etfs to only use those symbols to figure out the option price...

That is good news. I am not sure how we would recompute this in my example to do it correctly?

I am thinking of an example. If looking at this picture: http://www.bilddump.se/bilder/20161013174825-195.252.32.111.png Assume at entry the underlying is trading at: 116 dollar exactly. If we entry a put credit spread 1st January, where the blue rectangle is with values: SELL strike 112 for...

Hello, I wonder if it is possible to calculate from daily bars what a specific strike prices bid/ask/last values could have been when the underlying price was at a certain level During that day. For example if we at the end of the day in AAPL see those values for the underlying: Last: 117...

I am creating a backtesting software so I need to calculate the breakeven point somehow. Analytical softwares will not help in this case I beleive. I know about the greeks but it still doesn't really answer the question. I go back to the example where all "credit spread videos" I have seen...

I am not exactly sure how you ment. When accounting for timevalue, what scenarios can that mean. Can that mean that we can suffer a great loss on the price that we have as breakeven at entry(99.5 dollar)? I am not sure exactly how this works. Or should it in the long run over a large number of...

Hello, I wonder a little about the breakeven point for a Bull credit spread. Let us assume the below for AAPL (Liquid options) Current spot price: 103 SELL strike 100 Credit: 0.70 BUY strike 97 Debit: 0.20 Net credit: 70 dollar - 20 dollar = 50 dollar What I have learned when reading...

Thanks, yes I will try to interpolate, that should do it!

Yes, I noticed that the difference is extremely small. I just got this thing to eliminate small errors here and there. But perheps it is safe to use the closest interest rate to the DTE for the option.

I still wonder a little if I really use the correct interest rates from here: http://www.federalreserve.gov/Releases/h15/data.htm Is there an url to find the "Fed Funds rates" on Quandls website, I am not sure where to find it there and are there historical values back to year 2010? For...

Is 1% for one entire year? Then for example 0.33% is for 3 months? I may overcomplicate it but I am determined to anyway calculate this exactly. I just want everthing to be as correct as possible.

Hello, I use the "risk free rate" when calculating with the "black-scholes option pricing model". In that formula "Days to expiration"(DTE) is one of the inputs as well as "risk free rate". When looking at current days rates, I can find those 2 below: Treasury constant maturities (Nominal...