Is it possible to calculate Implied volatility, i one have no hystory data

tender_andy · Mar 25, 2003

so, no hystory for Option price, but the underlying price hystory available

and Implied volatility calculation required

with regards
Andy

theTaoTrader · Mar 25, 2003

To calculate implied volatility you need these: underlying price, option premium, strike price, days to exptration, risk free interest rate(treasury bill rate) and cost of carry. You have to make sure option premiums and underlying price are collected at the same point of time. Good luck.

chisel · Mar 25, 2003

See:

http://www.fintools.com/calculators.html

EliteThink · Mar 25, 2003

You could also tailor the vix with a multiplier for your uses as it is calculated directly from IV's.

Is it possible to calculate Implied volatility, i one have no hystory data

tender_andy

theTaoTrader

chisel

EliteThink