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by Pottsy
June 18th, 2012, 1:56 pm
Forum: General Forum
Topic: Implied Vol for OTM options?
Replies: 10
Views: 13854

Implied Vol for OTM options?

You're saying i would have to have the historical options prices since 2006 of 90% and 110%, then use those prices and the Black-Scholes to calculate the implied vol?Any ideas on a site that would have all that data in a convenient excel file or something?
by Pottsy
June 18th, 2012, 1:37 pm
Forum: General Forum
Topic: Implied Vol for OTM options?
Replies: 10
Views: 13854

Implied Vol for OTM options?

<t>Yes, it looks like you are right. Although, "The ?original? VIX, which is still tracked under the ticker VXO, was calculated using at-the-money put and call options on the S&P 100 index (OEX)."So that means I can use the VXO ticker to get my ATM option data, but I still need to know how to fi...
by Pottsy
June 18th, 2012, 1:03 pm
Forum: General Forum
Topic: Implied Vol for OTM options?
Replies: 10
Views: 13854

Implied Vol for OTM options?

I need to graph the implied volatility for 90% OTM puts,110% OTM calls, and ATM options, since 2006. I understand the VIX will simply be the ATM options, but how do I go about getting the upside and downside options?Thanks