The volatility of the price of the underlying security that is implied by the market price of an option based on an option pricing model.
3
votes
0answers
126 views
Could the Implied Volatility distribution change again? [closed]
It is well documented that following the stock market crash in 1987 the prices of options started to demonstrate skew and smile in the distribution of implied volatilities. This feature has been ...
6
votes
3answers
306 views
Parameters for pricing option on EDF
Ladies and Gents,
Im writing a quick routine to calculate implied vols for options on EUR$ futures with Bloomberg data. My question concerns the part where I have all my inputs and am ready to pass ...
4
votes
2answers
555 views
Lib for Arbitrage-Free Smoothing of Implied Volatility Surface?
I'm looking for an implementation of Arbitrage-Free Smoothing of the Implied Volatility Surface - Matthias R. Fengler.
Does anyone know of any existing libraries that have implemented this paper? Any ...
3
votes
0answers
165 views
What is the longest number of consecutive days that options implied volatility has stayed “extremely high” for any particular underlying?
Curious as to whether or not there is any sort of all time record. Any index, future, or stock will do. Volatility must be well above the average 1 year volatility for all periods.
