How i can to figure out the volatility?

It was really my mistake. i'm try now to explain.. Ofcose , we can get the IV only from reverse B-SH formula if we know the price of option.. A confusion in my mind was because of in my terminal the exchange get to see me a Volatility( IV)... If i trade option's on future on index, threre are enough liquidity in this instrument, then the parament volatility in my terminal calculate from a several last deal's with option and has indicative character.. But if i want to trade option that have no liquidity( !!!!!) ,like option on gazprom, when I can see the parameter IV too... But how the exchange can get to see a (IV)volatility if the option have no deal's and demand? This case told me that the exchange have there own method to estimate the volatility without option price...I hope you, guys, understand me...
From Russia with Love
 
Quote from jenek-cowboy:

It was really my mistake. i'm try now to explain.. Ofcose , we can get the IV only from reverse B-SH formula if we know the price of option.. A confusion in my mind was because of in my terminal the exchange get to see me a Volatility( IV)... If i trade option's on future on index, threre are enough liquidity in this instrument, then the parament volatility in my terminal calculate from a several last deal's with option and has indicative character.. But if i want to trade option that have no liquidity( !!!!!) ,like option on gazprom, when I can see the parameter IV too... But how the exchange can get to see a (IV)volatility if the option have no deal's and demand? This case told me that the exchange have there own method to estimate the volatility without option price...I hope you, guys, understand me...
From Russia with Love
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Why don't you start with the obvious!? Ask the exchange how it calculates the volatility parameter!
 
Quote from MTE:

Why don't you start with the obvious!? Ask the exchange how it calculates the volatility parameter!
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cool!!!! You can not trust me but the exchange don't want to public this method :) ..It is true ..It is Russia :) .. And so on the excange don't public the method that calculate the my guarantee , only in programm with hidden code :)
 
Quote from jenek-cowboy:

cool!!!! You can not trust me but the exchange don't want to public this method :) ..It is true ..It is Russia :) .. And so on the excange don't public the method that calculate the my guarantee , only in programm with hidden code :)
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I understand, but I'm sure they would at least tell you what parameters they are using to calculate it for illiquid stocks, wouldn't they!?
 
Quote from MTE:

I understand, but I'm sure they would at least tell you what parameters they are using to calculate it for illiquid stocks, wouldn't they!?
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They tell our only few words about general principles about estimating... no figures or algorithm.. Only words..
 
Quote from jenek-cowboy:

They tell our only few words about general principles about estimating... no figures or algorithm.. Only words..
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...... There is a quote from the official document about pricing of option. IV named theorical volatility
" The calculation method of TV for each option based on the price of the last deals and demand of ALL OPTIONS with the same underlying and time to expiry.."
But no words about the TV for that option that have no deals..
 
Quote from jenek-cowboy:

...... There is a quote from the official document about pricing of option. IV named theorical volatility
" The calculation method of TV for each option based on the price of the last deals and demand of ALL OPTIONS with the same underlying and time to expiry.."
But no words about the TV for that option that have no deals..
More...

Do you have option market makers that are required to quote a two-sided market in Russia? If you do then using the mid-point between the bid and ask is te obvious solution to finding implied volatility, which is also used elsewhere around the world, as last trade prices are unusable as some options are too illiquid.
 
Quote from MTE:

Do you have option market makers that are required to quote a two-sided market in Russia? If you do then using the mid-point between the bid and ask is te obvious solution to finding implied volatility, which is also used elsewhere around the world, as last trade prices are unusable as some options are too illiquid.
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Yes ..Thank you..It is good and very simple method .. I just have finished a my own little programm that can get me a place of MM order's ( I think that if i would know what MM do in variable situation-it maybe key to be a good strategy to make some money :) )... One problem is that the MM required to quote a two-sided market only in 40% time of the session length( it is a rule) ..But i have noticed that they very often set they order's all day... I think i can solve this problem ..Thank you for you advice..What is you name? Where are you from?

And several question to all ..
1.. How i can estimate the option out the money if i know the price in center?
2. How i can estimate the option on the same underlying but with different time of expire if i know the price of option in center only one of they? Does it possible at least approximately?
 
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