Tag Info

Hot answers tagged

4

I've always been skeptical of the quality of OptionMetrics' dividend information in the first place. Furthermore, subtracting out discounted dividends is an inaccurate way to deal with cashflows while pricing options. OptionMetrics also does not control for borrow/lend spreads, and their American option pricing model is not the best. My recommendation ...


1

European calls and puts have the same volatility value when they are matched by time to expiry and strike. So if you do match them by time to expiry, strike and price date then you can calculate the implied volatility and look for discrepancies, under the assumption that they should be the same, due to put-call parity as you say. Not all options of the same ...


1

The strike price provided by OptionMetrics is simply strike x 1000, so in order to calculate moneyness of the option you have to divide the strike by 1000 and then proceed in a standard manner. In terms of filtering the moneyness of the option, there are few options. The easiest is using VOLATILITY_SURFACE table in the OptionMetrics database. Amount of the ...



Only top voted, non community-wiki answers of a minimum length are eligible