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  • 26 votes cast
Mar
14
answered Interpolating on the BS parameters and injecting in the BS formula vs interpolating directly on option prices
Mar
14
answered What does this options' data mean?
Feb
24
answered Calculating historical implied volatility
Feb
24
comment Problem with overlapping data when testing futures market efficiency
It is hard to suggest a general technique, but in linear regression you should use Newey-West correction.
Feb
23
comment Difference in implied volatility calculation
I understand the confusion as both have "implied volatility" in it, but the question was about strike specific implied volatility, i.e. B-S IV. If you look at the vollib link provided in the question, you will also see explicit reference to B-S. And in the option chain quotes yahoo finance also calculates strike specific IV.
Feb
22
revised How to select the initial guess for implied volatility?
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Feb
22
comment Difference in implied volatility calculation
What is that ln(1+D/S) ? Shouldn't it be D/S-1 or ln(D/S) ?
Feb
22
comment Difference in implied volatility calculation
Implied volatility has a specific meaning, which is volatility such that plugged into B-S formula produces market price. Your "answer" did not answer the question that was asked.
Feb
21
answered How to select the initial guess for implied volatility?
Feb
18
comment How to price jumps in payoffs
The question is about jumps in derivative payoff, path-dependent dis-continuities. The papers you sited are about jumps in the underlying process, a different topic.
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?