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The implied volatility is the volatility that gives the current option price (given the risk free rate, dividend, time to maturity and strike price).
The related link contains a spreadsheet to help you calculate implied volatility in VBA
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How an option holder gains from the volatility of the underlying stock price?
A component of the option price is the implied volatility of the stock. When the implied volatility rises the price of the option rises slightly. Read more about VEGA & DELTA of an option.
What is imp vol in option trading?
Implied volatility is the expected volatility of the underlying stock. The higher the implied volatility, the more the underlying stock is expected to move and thus the more expensive an option becomes due to increased extrinsic value.
How do you calculate implied volatility using solver?
To calculate implied volatility using Solver, you need an options pricing model (such as Black-Scholes) and market data (including the option price, strike price, underlying asset price, risk-free rate, time to expiration, and any dividends). Build the pricing model in a spreadsheet, input the market data, and set the initial volatility value in Solver. Set the objective to match the calculated option price with the market price by changing the volatility cell. Run Solver to find the implied volatility that minimizes the difference between the calculated and market option prices.
What is the vega of an option?
Option Vega is the change in the value of an option for a 1-percentage point increase in implied volatility, i.e. the first derivative of the option price with respect to volatility.
Are there any websites that are tracking implied volatility for stock options?
One of the best places you can go online for information on tracking implied volatility information for stock options is through http://whatstrading.com. They have information on what you are looking for as well as trading premiums, on demand analytics, and various case studies on the trade.
What are the risks of stocks?
Stocks can lose their value quickly due to adverse market conditions. There is also a possibility that the company will go bankrupt. Market shocks can cause volatility in any single stock or group of stocks.
What has the author Mthuli Ncube written?
Mthuli Ncube has written: 'Modelling implied volatility with OLS and panel data models'
When would an investigator not want to purchase stocks by buying on margin?
When he anticipate high volatility as it may lead to squaring of his stocks or positions due to decrease in minimal margin to support the position.
What is volatility smile?
The volatility smile is a long-observed pattern in which at-the-money options tend to have lower implied volatilities than other options. The pattern displays different characteristics for different markets and results from the probability of extreme moves
Are there some stock options that are overpriced or under priced?
Value is subjective, but in general, options are over priced, particularly when implied volatility is very high.
What is a commodity option trading system?
In commodity option trading each contract will have a different implied volatility. Traders in commodity options have a different perception of risk in that it is bi-directional.
How do you calculate beta in mutual funds?
Check out these websites: http://faculty.babson.edu/academic/Beta/CalculateBeta.htm http://www.money-zine.com/Investing/Stocks/Stock-Beta-and-Volatility/
