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If there was a way to back out implied volatility (IV) from a stock, would it be the same as the IV backed out from an option on that same stock?
I know that it is not possible to back out an IV for a stock, because the concept of IV is based on a model with underlying assumptions applied to pricing an option.
I was thinking of why IV is ...
- 2,231
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Practical approach to get average option IV
Is there a practical method to calculate some sort of average IV for each level of moneyness of equity options?
I'm thinking of an algorithm to find mispriced options and do to so, we need to figure ...
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Why doesn't Variance-Gamma process flatten volatility skew for short term options?
The Variance-Gamma (VG) process, from my inexpert point-of-view, seems to nearly perfectly model equity distributions.
For longer term options, there is little to no volatility, skewness, or kurtosis ...
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