More efficient way to estimate IV?

R

Rocko1

I currently use the calculator at cboe.com to see IV for individual options, it takes time for the page to load and filling in the numbers.

Was wondering if anyone knows of a more efficient manner to estimate it. thanks
 
don't know how serious you are about playing options, Rocko. if you are going to jump in, you need a broker that will automatically give you the IV, HV and the greeks in RT.
i use TOS, there are others.
dan
 
rocko, you can get a ten day trial of tos software. it's java so you'll have to download it to. can be downloaded from the same site.
 
Thanks again,
I signed up for an account with them. I plan to trade only stocks for now as my experience lies in trading the underlyings, and papertrade options. Do you guys know if ToS also has a calculator for the "theoretical values" to compare to the actual values?
 
go to analyze or trade tab. upper right of the page. push the little blue down arrows. set up theo price or whatever you want on the options.
go to help and go to the narrated walkthroughs.
 
Quote from atticus:

IB offers stat and implied strip-vols as a column header on TWS.
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Hi A, :p ,

I never came around to properly inspect that feature, as I use homebuilt spreadsheets to calc the IV.
But my first impressions were that for index-options they use the current index-value to evaluatie the greeks. This gives skewed results because the actual pricing is based on the forward value of the index. In my spreasheets I use the index-future as the underlyer.

Did you notice that?

Ursa..
 
Quote from MajorUrsa:

Hi A, :p ,

I never came around to properly inspect that feature, as I use homebuilt spreadsheets to calc the IV.
But my first impressions were that for index-options they use the current index-value to evaluatie the greeks. This gives skewed results because the actual pricing is based on the forward value of the index. In my spreasheets I use the index-future as the underlyer.

Did you notice that?

Ursa..
More...

Hi Ursa,

I've only used the strip vols for component vols, but that would certainly be a problem. I'll take a look.

If so, atm puts and calls would be priced at equal premium at 0alpha.
 
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].
 
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