Reputation
Top tag
Next privilege 100 Rep.
Edit community wikis
Badges
7
Newest
 Scholar
Impact
~2k people reached

  • 0 posts edited
  • 0 helpful flags
  • 3 votes cast
Jan
11
awarded  Scholar
Jan
11
accepted Some questions about implied volatilities and how to generate theoretical prices when market prices are not available
Jan
11
comment Some questions about implied volatilities and how to generate theoretical prices when market prices are not available
I think I'll go with Vanna-Volga to start, until I get familiar with SABR calibration. Honestly, I need to focus on a range of 21 strikes (ATM + 10 strikes up and down the ATM) and in this range Vanna-Volga and SABR seems to work similarly. Is it reasonable?
Jan
10
comment Some questions about implied volatilities and how to generate theoretical prices when market prices are not available
So I was thinking to apply Vanna-Volga with data for ATM and 25D call and put because it is easier to apply. But your thought are more than welcome.
Jan
10
comment Some questions about implied volatilities and how to generate theoretical prices when market prices are not available
Yes that's my question. But I didn't find step-by-step Excel/.NET examples. That's the reason why I was asking.
Jan
10
comment Some questions about implied volatilities and how to generate theoretical prices when market prices are not available
Do you know if I can easily calibrate SABR in Excel or in .NET? I am not familiar with this model. Any easy reference to suggest? Thanks.
Jan
10
comment Some questions about implied volatilities and how to generate theoretical prices when market prices are not available
I programmatically extract all the information available in the books exactly at the same time. The problem is that the bid/ask may not be updated for some strikes. Just because market makers are not quoting them for some reasons. I think this problem is common to all data feeds. Since market maker have obligation to quote continuously prices for a sufficient number of strikes (at least up to 25 delta) I was considering Vanna-Volga to extrapolate smile-consistent prices for the wings (DOTM contracts).
Jan
10
comment Some questions about implied volatilities and how to generate theoretical prices when market prices are not available
Thanks David. Unfortunately I cannot be sure that put & call at the same strike have been updated at the same time so I cannot imply the spot from the P-C parity. What do you mean when you say: "to improve the accuracy of your implied vol calculation a little bit further if there is a chance that your call and put prices could be sampled at slightly different times, I would then imply the vol from the price of the straddle C+P"? If I don't have prices for both Call and Put at the same strike (when OTM and ITM) how can your suggestion help? Thanks again.
Jan
10
awarded  Curious
Jan
9
awarded  Commentator
Jan
9
comment Some questions about implied volatilities and how to generate theoretical prices when market prices are not available
So those prices cannot be the right ones for underlying at 3100.94. How do you suggest to proceed to have consistent data and be able to plot a realistic smile? If I use only few prices for which I'm sure I have updated price I can use Vanna-Volga to find the remaining. But what if I don't have updated prices at 25 delta?
Jan
9
revised Some questions about implied volatilities and how to generate theoretical prices when market prices are not available
added 423 characters in body
Jan
9
comment Some questions about implied volatilities and how to generate theoretical prices when market prices are not available
Just added some info in the post. Thanks.
Jan
9
asked Some questions about implied volatilities and how to generate theoretical prices when market prices are not available
Oct
31
revised Vanna-Volga method to infer vol surface with just few realtime tick data
added 1 character in body
Oct
31
asked Vanna-Volga method to infer vol surface with just few realtime tick data
Oct
29
awarded  Editor
Oct
29
comment What is an efficient method to find implied volatility?
Just added the C# code.
Oct
29
revised What is an efficient method to find implied volatility?
Added the C# code I am currently using to find the IV. The algorithm fails to converge sometime and the code throw an exception.
Oct
29
comment What is an efficient method to find implied volatility?
Thanks for the comments. Could you please address me towards some solution implemented in C#/C++ based on the Dekker and Brent algorithm?