Timeline for Option Chain Implied Volatility Calculation
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jan 5, 2016 at 16:40 | comment | added | phdstudent | Yes. As a rough approximation. | |
| Jan 5, 2016 at 5:20 | comment | added | patrickandroid | Thanks for the answer, although I think it would be too complicated for me to implement in code. As a rough approximation would it be valid to use the implied volatility of the at the money strike? | |
| Jan 5, 2016 at 5:16 | vote | accept | patrickandroid | ||
| Jan 4, 2016 at 15:21 | comment | added | nbbo2 | If you wish to pursue this approach, I would suggest SpxTrader read the Vix White Paper for the details of how the CBOE implements this formula. | |
| Jan 4, 2016 at 11:59 | history | answered | phdstudent | CC BY-SA 3.0 |