Find the IV for this...

newwurldmn said:
goldman started quoting them this year. There was a well known poster here who worked there and has since disappeared. I think he stole the idea from thecoder.
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Is that why Goldman derivatives division is now just AWS bots with Fairput algo running?
 
In my above IV calcs I used Bid/Ask as input basis for the IVfinder algorithm. Of course one instead can also use the theoretical Premium from the option pricing model (ie. Black-Scholes-Merton) and take that as input basis. When using this method then one even can spare the tests whether the input premium violates parity (as is necessary with Bid/Ask)...

That's cooli, man! :)
 
thecoder said:
In my above IV calcs I used Bid/Ask as input basis for the IVfinder algorithm. Of course one instead can also use the theoretical Premium from the option pricing model (ie. Black-Scholes-Merton) and take that as input basis. When using this method then one even can spare the tests whether the input premium violates parity (as is necessary with Bid/Ask)...

That's cooli, man! :)
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Hmm. I think the above idea is an illogical nonsense as we need to calc IV b/c we don't have it. But of course we can't use the "theoretical premium" as we can't calc it since the volatility, ie. IV, is missing.... :)
 
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