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.

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9
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1answer
537 views

Can VIX be interpreted as a proxy for instantaneous volatility?

BJO06 (Table 2) estimate the following Cox-Ingersoll-Ross model for market variance, $\sigma^2_t$: $\mathrm{d}\sigma^2_t = (\alpha_0 + \alpha_1\sigma^2_t)\mathrm{d}t + ...
4
votes
1answer
838 views

If VIX is the Implied Volatility of SPX, 30 days in the future, how many days into the future does VIX vol look?

Question: if VIX is the Implied Volatility of SPX, 30 days in the future, how many days into the future does VIX vol look? +60 or +30? Lets see if I'm on the right track: Premise 1: VIX is the ...
11
votes
2answers
4k views

How to derive the implied probability distribution from B-S volatilities?

The general problem I have is visualization of the implied distribution of returns of a currency pair. I usually use QQplots for historical returns, so for example versus the normal distribution: ...
3
votes
1answer
181 views

Is it possible to estimate the correlation between an equity and its IV, purely from its IV skew?

If we know the options Implied Volatility (IV) skew for an equity, is it possible to calculate the probability of the equity moving, given a move in the IV? We can define IV skew as the difference ...
3
votes
0answers
143 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
360 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 ...
3
votes
0answers
186 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.