# 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.

748 questions
Filter by
Sorted by
Tagged with
83 views

### Mid vol from bid/ask vols for equity options

Given an arbitrary bid IV and ask IV is it possible to compute a mid IV in a model agnostic fashion? Is there anything else aside averaging the bid and ask vols or interpolation between bid/ask ivs ...
1 vote
55 views

### Why IV surface over call price surface? [closed]

Why do options traders usually model and trade the IV surface? I appreciate that the IV surface is more standard across assets, but why do we go to so much trouble with the IV surface? To me it seems ...
130 views

### How to fInd relation between call and Put IV on expiry day without calculating?

During the expiry day, in the European style options, the effect of rho will be very less. Let on expiry day the market is exactly at some strike price S at some moment of time. At that moment if the ...
1 vote
50 views

### 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 ...
792 views

### Realized Variance (realized volatility)

I'm confused about realized variance. I roughly know the theory around Ito Calculus and quadratic variation and integrated volatility so I understand what realized variance measures (even though as ...
110 views

### 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 ...
27 views

352 views

### implied volatility and strike price

Assume for simplicity that the expiration time of an option is $1$ the initial stock price is $1$ and there is no dividend yield and the risk free return is $0$. How is it possible to show that the ...
29k views

### What is the implied volatility skew?

I often hear people talking about the skew of the volatility surface, model, etc... but it appears to me that a clear standard definition is not unanimously in place among practitioners. So here is ...
109 views

### Help needed in replicating FX Implied Vol Surface

I am relatively new to this area and am doing some self studying on SLV model. I am however getting stuck on trying to replicate this implied vol surface (which I will use to calculate the local vol) ...
1 vote
156 views

### Calibrate the SABR model to the implied volatility surface

I'm currently trying to calibrate the SABR model. The question I have is that when I consider papers and other websites I only come across cases where the SABR parameters are calibrated to the implied ...
114 views

### What is the meaning of an implied volatility of an Asian option?

Suppose that an Asian option is quoted OTC in terms of its implied volatility. What is the meaning of an implied volatility in this case? Is it an implied volatility of a vanilla European option with ...
6k views

### how to do interpolation in the term structure of volatility surface?

everyone~ I am a newbee in the quantitative finance and I meet a problem in working out an equity option volatility surface. We use the reasonable market data to derive the implied volatility, then ...
103 views

### implied vol smile relative to atm vols

Am I correct in saying that most stochastic vol models are meant to behave in a way that as atm vol goes up the smile comes down and risk reversals become "less stretched?" - by that i mean ...
162 views

### Deriving strike from Delta

According to the following thread: How can I calculate the strike price or implied volatility from a given delta? To back out some strike given some Delta, you simply use realized vol (plus a few ...