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  • 16 votes cast
Feb
5
answered Black_scholes formula for a butterfly option
Dec
29
comment Implied volatility: sensitivity to the underlying spot price
We seem to be talking in circles - so you determined implied spot from options, what is the problem? What are these put-call discrepancies? You should have implied spot and implied rate for each time slice, they can be different from one expiration to another, it is not a "discrepancy" if there is a reason for differences like dividends for equities, or if you're working with non-storeable commodities.
Dec
23
comment Implied volatility: sensitivity to the underlying spot price
If your spot data is suspect, there is not much you can do - and still this has nothing to do with the d IV / d Spot that you were asking about. If you have a robust options market you can calculate implied spot (and implied rate) and use that.
Dec
17
comment Implied volatility: sensitivity to the underlying spot price
If your task is to calculate implied volatility, why would you need the sensitivity? Just calculate IV.
Dec
11
comment Implied volatility: sensitivity to the underlying spot price
There is no single formula, there are some models (SABR yes, Black-Scholes no) that have IV - spot dependency. Or you can derive some purely statistical model. What is the practical context of your question?
Dec
7
answered Hedging - calculating option prices using implied volatility surface
Dec
7
comment pricing with implied volatility surface
@Tim, "to price" here is a bit misleading. If there is a market, there is a price. Fair value may be a better term, but really all this is for the purpose of hedging - delta, and gamma through inventory management.
Dec
6
awarded  Revival
Dec
5
comment pricing with implied volatility surface
@Tim Yes @ Gordon, yes, or just use delta directly. The choice of "basis" is unlikely to have any major difference for one-minute interval.
Dec
3
answered How do I track implied volatility of specific delta?
Dec
3
answered Volatility Surface Constituents, do's and dont's
Dec
3
answered pricing with implied volatility surface
Sep
29
awarded  Revival
Sep
28
awarded  Notable Question
Sep
1
awarded  Enlightened
Sep
1
awarded  Nice Answer
Jul
29
comment why many option contract price less than minimum boundary price?
Check two things: 1 Are you using correct risk free rate? Should be something like 7 or 8%. 2 f&o Bhav file does not provide you with bid and ask prices, only settlement prices. It is possible that settlement price for some options is below arb because bid ask is wide, and average (or settlement from last price - stale) is meaningless. Finally I suggest you add one example to your question - all the numbers, rates and prices.
Jul
21
comment How to interpret Realized Volatility and TSRV using R
Yes, Colin, my bad, I was thinking about BPV, and what I wrote was incorrect. I upvoted your answer.
Jul
21
revised How to interpret Realized Volatility and TSRV using R
deleted 424 characters in body
Jul
21
comment Can VIX be interpreted as a proxy for instantaneous volatility?
What do you mean by "end-of-month VIX" Once a month? Then they will have 20x less observation points, and estimate will not be nearly as efficient.