# 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.

131 questions
Filter by
Sorted by
Tagged with
1 vote
2k views

### FX Options price vs implied vol

From the screenshot below, what is the difference between the option price by strike in the table versus the implied volatilities by delta in the chart at the bottom? https://www.investing.com/...
• 361
29k views

### How to derive the implied probability distribution from B-S volatilities?

The general problem I have is visualization of the implied distribution of returns of a currency pair. I usually use QQplots for historical returns, so for example versus the normal distribution: ...
• 1,180
117k views

### A simple formula for calculating implied volatility?

We all know if you back out of the Black Scholes option pricing model you can derive what the option is "implying" about the underlyings future expected volatility. Is there a simple, closed form, ...
• 2,098
1 vote
3k views

### Effect of Implied volatility on option delta

I am currently hedging a short put option where strike is 6027 and expiry is 30th Mar 2023. As per my understanding when option is ITM increase in volatility will decrease the delta and decrease in ...
• 45
6k views

### Variance replication using options

I would like to understand the intuition behind the following question: Why a certain weighted sum of prices of put and calls is equivalent to the implied variance of an underlying? A variance swap ...
• 438
3k views

### Is it possible to have only one volatility surface for american options (that fits both calls and puts)?

Put-Call Parity does not hold for american options. Hence, I don't see how it would be possible to have one surface that would encompass both calls and puts. For example: Let pick a call lying in the ...
• 310
2k views

### Option Pricing for Illiquid case

I am currently studying crypto options trading and have observed that there is often a lack of liquidity for options (such as BTC Options) on various exchanges, including Binance. In many cases, there ...
4k views

• 285
1 vote
562 views

### Converting implied volatilities into digital option prices

I have Black and Scholes (1973) implied volatilities computed and I would like to convert these IVs to digital option prices using a Black and Scholes type of formula, I can't find a formula to do ...
• 2,121