Timeline for Implied Volatility of stock on Think or Swim
Current License: CC BY-SA 3.0
19 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Feb 4, 2019 at 4:23 | comment | added | Chad | I sent TDameritrade support this question, and they sent me the answer and the white paper. They didn't seem to have a problem understanding the question. I can't seem to post it cause the moderators keep deleting it. | |
| Jan 21, 2019 at 0:03 | comment | added | Argyll |
Also I need to backtrack on the comment on correctness. Impl Vol per strike price in TOS is NOT directly derived from Black-Scholes equation either -- despite of what the support says. I just tried a few on SPY's pricing on this past Friday. They don't match, even though they are close. TOS's method seems to involve some small modifications to the base B-S. Also, my custom script produces results matching ivolatility.com's calculator. You can rule out errors in my calculations.
|
|
| Jan 20, 2019 at 21:35 | comment | added | Argyll | @Chad: You may want to explain better what you really want. Show just the IV vs historical volatility graph and label your graph, for example. The answer TOS support alluded to is that they root solve Black-Scholes equation for Impl Vol per option strike price in real time. When people look at what you ask, myself included, it seems they answered your question. It was by pure chance that I opened this page again and noticed you meant something else. | |
| S Jan 31, 2018 at 5:29 | history | bounty ended | CommunityBot | ||
| S Jan 31, 2018 at 5:29 | history | notice removed | CommunityBot | ||
| Jan 28, 2018 at 20:18 | answer | added | David Addison | timeline score: 4 | |
| Jan 27, 2018 at 8:12 | comment | added | Helin | @Chad I really think you should try to read everyone's answers/comments again, because this question is thoroughly answered. The chart is simply showing the implied volatility of a stock, which is calculated based on options on the stock (mostly like based on a rolling tenor, perhaps rolling 1m or rolling 3m expiry options – you have to ask TOS what expiry they are using). The formula you quoted, as everyone has mentioned, is simply the numerical method for computing implied volatility of an option – the Black-Sholes formula has no closed form solution, this is how you solve it. | |
| Jan 24, 2018 at 23:47 | comment | added | Chad | Either I don't understand what your are trying to convene or you haven't read the question in its entirety. | |
| Jan 24, 2018 at 7:33 | comment | added | Freelunch | Review the Black and Scholes model, the implied volatility of an option is the implied volatility of the underlying stock. | |
| Jan 23, 2018 at 17:05 | comment | added | Chad | I understand how to calculate Implied Volatility of an option. I have written that code in PHP. I clearly get that. However Think or Swim has a formula that calculates the IV of a stock. (see above) I want an example of how calculate the IV of a stock not an option. This is pretty rare formula and I can't seem to find an example. | |
| Jan 23, 2018 at 10:45 | comment | added | LocalVolatility | See e.g. quant.stackexchange.com/questions/15198 for an implementation of the Newton method to find the implied vol. | |
| Jan 23, 2018 at 10:40 | comment | added | Freelunch | It's not clear what kind of real life example you want. This is simply the implied volatility calculated by root solving the Black and Scholes formula. | |
| Jan 23, 2018 at 4:35 | history | tweeted | twitter.com/StackQuant/status/955660178120151040 | ||
| S Jan 23, 2018 at 4:16 | history | bounty started | Chad | ||
| S Jan 23, 2018 at 4:16 | history | notice added | Chad | Improve details | |
| Jan 23, 2018 at 4:12 | history | edited | Chad | CC BY-SA 3.0 |
[Edit removed during grace period]; added 133 characters in body
|
| Jan 11, 2018 at 7:22 | answer | added | Richi Wa | timeline score: 11 | |
| Jan 11, 2018 at 5:56 | review | First posts | |||
| Jan 11, 2018 at 7:51 | |||||
| Jan 11, 2018 at 5:52 | history | asked | Chad | CC BY-SA 3.0 |