More efficient way to estimate IV?

[MajorUrsa]

Quote from atticus:

The July atm vols on GOOG do account for the forward, as do the atm NDX. I'll assume the strips as quoted in TWS are accurate [enough].

Okay. that must have been a glitch then. Or maybe the coupling is correct for mainstream indexes like DJI and SP and not for Dutch EOE/FTA options that I use mainly. I'll inspect again later. Thanks for replying.

Ursa..

 

[Kevin Schmit]

Quote from Rocko1:

wondering if anyone knows of a more efficient manner to estimate it. thanks

((0.5*(ATMCall+ATMPut))/ATMStrike) * 1/(0.4*strt(T))

Since, for any expiry, the second tern is a constant
(for the Jun expiry, for example, it is approcimately
10), you can do this in your head.

It is a rough estimate, and will come in a little high.
Especially for American style options.

This approximation has a name, but I can't remember
it offhand. I have used it as a starting point for Newton
Raphson.

 

[Rocko1]

Quote from Kevin Schmit:

((0.5*(ATMCall+ATMPut))/ATMStrike) * 1/(0.4*strt(T))

Since, for any expiry, the second tern is a constant
(for the Jun expiry, for example, it is approcimately
10), you can do this in your head.

It is a rough estimate, and will come in a little high.
Especially for American style options.

This approximation has a name, but I can't remember
it offhand. I have used it as a starting point for Newton
Raphson.

Thank you very much that's exactly what I was hoping to find.