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I just saw the question How to calculate the most realistic historical option prices with additional publicly available parameters and I am interested in the step before that.

How can I calculate historical ATM option prices for the SP500 using VIX prices and other publicly available data? Can I just use VIX as implied volatility? can I go slightly out of the money (to 2% or 5%)?

Any links to examples or code will be appreciated!

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I don't know if I understand your question correctly but the procedure how to calculate ATM option prices with publicly available implied volatility indices (like VXO) for the vol parameter can be found in the mentioned paper on pages 5-7:

How Students Can Backtest Madoff’s Claims by Michael J. Stutzer (2009)

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  • $\begingroup$ I was hoping to get an example or some (R,C,Excel) code to do it. It is the first time I try it so I don't understand all the variables yet. $\endgroup$ – Terco Jul 1 '12 at 17:34
  • $\begingroup$ @Terco: Just do a Google search for "Black Scholes Excel" and use the variables as stated in the paper - it is not that complicated! $\endgroup$ – vonjd Jul 2 '12 at 6:54
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    $\begingroup$ Stutzer's paper indeed has everything you need. It just takes a bit of time to put things together. $\endgroup$ – Terco Jul 2 '12 at 15:09

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