New answers tagged implied-volatility
2
votes
implied volatility for close to expiry ATM options vs VIX
This question was asked the day before Thanksgiving ? Then an option that expires in 3-4 days is Friday ? Or Monday ? It doesn’t much matter, the point is that the market doesn’t expect much action ...
- 16.5k
2
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implied volatility for close to expiry ATM options vs VIX
Bonus: Dividend yield concerns the underlying, not the option. It is a cost of carry no arbitrage logic that is used to price options and as such you need to take dividends into account.
The VIX index ...
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0
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What does implied volatility say about the underlying?
In response to the initial question - I would argue that there cannot be a correct model. OJK says the model is unsuitable because there is no single value for volatility that produces all observed ...
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0
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Implied volatility greater than realized volatility at all strikes?
Most of the time, but not always. When a trader underwrites an option (selling a call or put), they do not get the choice to exercise - the buyer has the choice. So the buyer pays a "premium"...
2
votes
Accepted
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?
Yes, IV is indeed possible, at least in theory, to back out of stock prices. This lies, I would say, in the core of the so called structural bond models, which, as far as I know, started out with ...
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