# Aprox intraday implied volatility using intraday option prices and EOD greeks

I have two options datasets:

1. EOD IV and Greeks
2. Tick option and underlying prices

I'm looking to calculate IV for each tick. Is there a way to approximate the ticks' IV using last EOD Greeks and IV?

-
no there is not (because the IV<->Price relationship is not linear, hence the name non-linear product), but there is an exact way to calculate your IV from the option tick prices and ticks of the underlying. Not sure, though, what benefit you would derive from doing that. –  Matt Wolf Jun 1 '13 at 3:36
@MattWolf Presumably there would be a performance benefit to approximating $IV_t$ from $\mbox{returns}_t$ and $IV_{t-1}$. Whether that would introduce too much error is application dependent. –  chrisaycock Jun 1 '13 at 12:35
@MattWolf I know there is no exact relationship, hence I'm asking for an approximation. As chrisaycock presumed, I'm looking for speed more than exactitude. –  Victor P Jun 1 '13 at 19:19
@chrisaycock, fair point made, yes of course one can approximate anything given there are past reference data that can be regressed. But as I said as long as you look to trade off such IV data approximations are not enough and introduce too much error due to the non linearity. If you can accept a reasonable estimation error then you can use the previous IV and underlying price relationship and derive the estimate of IV on the changed price of the underlying. But there is a reason why most all vol desks apply greeks in case they work off static IVs. –  Matt Wolf Jun 2 '13 at 2:17
Just to give you an example, if you only use IV(t-1) and OptionPrice(t-1) as well as OptionPrice(t) you may witness an unchanged option price from t-1 -> t and incorrectly deduce that IV must be about the same, while the price of the underlying moved down in the same observation period and IV exploded. Also, this is a very bad approach for short-dated options because you ignore delta decay as well as the effect of changes in vega with respect to the passage of time. –  Matt Wolf Jun 2 '13 at 2:30