Find the IV for this...

thecoder

thecoder

THIS IS OLD & BUGGY. SORRY. PLEASE SEE THE OTHER EXAMPLE IN THE NEXT POSTING.

Price of underlying stock: $100
Put DTE=6 (ie. t = 6/365 = 0.01643835616438356164), Strike=$225, Premium=$10
RiskfreeRate (aka EarningsYield) and DividendRate (aka DividendYield) are 0.
How much is the IV of this Put option?

Is anybody on this planet able to calculate this? :)
 
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Robert, the above one was not real (I just wanted simplify things by basing it to 100, but it seems I made an error :-( Will check again.

But following data is real. What about calculating IV for this one? :
Price of underlying stock: $4.40
Put DTE=6 (ie. t = 6/365 = 0.01643835616438356164), Strike=$100, Premium=$95.30
RiskfreeRate (aka EarningsYield) and DividendRate (aka DividendYield) are 0.
How much is the IV of this Put option?

Below, the screnshots where I got the above numbers:
TAL_options_2021-Nov-19_as_of_2021-11-12-Fr-AH_part1.png
TAL_options_2021-Nov-19_as_of_2021-11-12-Fr-AH_part2.png
 
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Please tell me you know this makes no sense either. You can't have a price of $95.30 with a put Strike of $67.50. For your next example, any DTIM put with little time left is trading at parity unless there is a dividend, and the IV is not relevant with no time premium. It is a random value that the formula was not meant to calculate.
 
Robert, as you can see: people have put Bid and Ask for these amounts, ie. Bid=95.20, Ask=95.40. These orders are the top positions in the orderbook. Are these people crazy? :-)
 
Yes, strike 100 is meant (67.50 was again just a typo which I quickly fixed, but you still saw it :-))
Sorry, your last question I don't get/understand. Elaborote pls.
 
I see you changed the Strike to 100. It has no Implied vol. The call has no premium and if the stock were to move in a normal distribution, it still would not.
 
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Robert Morse said:
It has no Implied vol. The call have no premium
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It has no IV b/c YahooFinance could not calculate it. I tried it myself and couldn't calc it as well. :-(
Either the precision of the used datatype isn't enough (tried w/o success both double and long double types, ie. 8 byte big floats and 16 byte big floats), or maybe a bug in BSM? :)

and if the stock were to move in a normal distribution, it still would not.
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Aeh, really? Just curious: how do you know?
 
This is about as far as I'm willing to go in a public forum. The Nov 7.5 calls were at 0.05. So there all the strikes above that. I would not go more than 3 strikes that are basically worthless and do any meaningful calculation. Because of put/call parity, those puts are worth parity. The IV of an option with no premium has no analytical value. The call worth $0 and the puts at parity are a waste of time to spend time on.
 
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