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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114 views
compute time from FX forward, how use DEPO rates?
assume I have following delta-term vol data from broker:
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3
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129 views
How companies choose earnings release dates, & effect on Implied Volatility
A company's earnings release date significantly affects weekly or monthly option prices/implied volatility. For companies that typically release earnings on the cusp of monthly options expiration, ...
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116 views
What is the relation between return volatility and return rank volatility, and how can I control the latter?
I have no experience in finance, but I've been playing around with a virtual portfolio.
I'm trying to control the "rank volatility" distribution - that is, the volatility of a stock's daily rank in ...
3
votes
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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.
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42 views
Discount of Asian vs European vols
I understand the discount for Asian vs. European vol depends on time to expiry and length of averaging period. This makes sense intuitively; a short averaging period far away blurs into a single ...
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vote
0answers
87 views
Interpolate option volatility in delta space in R
I have a bunch of deltas and option implied vols at those deltas. I would like to interpolate them in R. Interpolating them in delta space seems difficult, since normally you would like the ATM calls ...
