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Assume we are in the Black Scholes for call option settings, and let’s ignore the dividend. For the implied vol, we can treat all other variables as constant, and focus on the price of the call option as a function of implied vol. $C\left( \sigma\right)=SN\left(d_1\right)-Xe^{-rT}N\left(d_2\right)$ Where: $d_1=\frac{ln \frac{F}{X}}{\sigma \sqrt{T}}+\frac{...


The option price should be superior than the intrinsic value of the option. In your case: 31590-29800=1790>1768.05. if you want to test the IV given by your algorithm you can use my website []. it is a web platform coded using javascript that contains an IV calculator. please let me know for more information.


The justification for that microprice is empirical, not theoretical. In most market I can think of, most of the time, if there are more orders and more size on the bid than the ask, then it's more likely that that BBO will tick up rather than down. And the greater the imbalance, the higher the probability of an uptick (and vice-versa for downticks). For ...


@amdopt's answer emphasises there is a lot of depth to this topic and that the actual behaviour of the order matching depends on exchange particulars. In this answer, I give a simplified view of an exchange where market orders also don't match other market orders. Orders can be split into two types: resting orders and immediate orders. All resting orders ...


Two (or more) orders arriving at the same time makes no difference for an exchange's matching engine, the buy orders execute against sell limit orders, and the sell orders execute against buy limit orders. If no limit orders exist, market orders may be rejected by the exchange, or the price will be restricted to a 'volatility threshold' based on the last ...


Market orders cannot be matched against other market orders. Consider this case: 1) Limit book is empty on both sides 2) Market sell arrives at same time as market buy with matching sizes What price do you fill this trade at?

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