# Questions tagged [implied-volatility]

The volatility of the price of the underlying security that is implied by the market price of an option based on an option pricing model.

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### Contradictory arguments for ATM/ITM/OTM option demand

I am trying to understand which of the options have the most demand, and found this discussion here. The arguments presented are as follows: ATM is more liquidly traded than ITM/OTM because they are ...
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### Very close local volatility and implied volatility using Dupire's equation

I used Dupire's equation to calculate the local volatility as in https://www.frouah.com/finance%20notes/Dupire%20Local%20Volatility.pdf and Numerical example of how to calculate local vol surface from ...
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### Option Chain Simulator Using Historical Index Future data, VIX, Implied volatility for Calculation ( Pls Review the Idea & give your suggestions )

Recently I started trading in options, for Learning purpose I am Planning to Create old European Option chain like previous week or last year particular entire week Weekly expire option chain with the ...
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### Implied Volatility is the harmonic average of Local Volatility

I am trying to demonstrate the famous result that states that when $T \rightarrow 0$, the Implied Volatility is the harmonic average of Local Volatility. I am st the final stage, and I have the ...
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### Closed formula for computing Implied Volatility from Local Volatility function

The main result of this paper (Asymptotics and Calibration in Local Volatility Models, Berestycki, Busca, and Florent. Quantitative Finance, 2002) is equation (16) on page 63, that states that: In the ...
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### The relationship btwn RV-IV and realized skew

In studying skew I've been advised to focus on understanding on components that affect it. One such component that's been recommended to me is the relationship btwn RV-IV and realized skew. ...
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### Dividend adjustment on SABR formula for interpolating implied volatility

We are using a SABR model to interpolate the implied volatility surface. The model yields a formula for implied volatility that contains the following term: $\ln \left(\frac{K}{F}\right)$ It is ...
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### Calibration of a volatility smile model on a partial smile

I'm using a well-known SABR model in order to build an implied volatility surface of caps/floors on a very illiquid market which is entirely missing OTM quotes. What happens to SABR implied smile/...
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### Calculating Expectation of Stochastic Volatility

I have a question while reading THE NELSON–SIEGEL MODEL OF THE TERM STRUCTURE OF OPTION IMPLIED VOLATILITY AND VOLATILITY COMPONENTS by Guo, Han, and Zhao. I don't understand why the above equations ...