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Vanilla options IV guess

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skullx
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Joined: January 27th, 2012, 5:43 pm

Vanilla options IV guess

September 18th, 2013, 7:25 am

Hello, comrades!As we know it's quite easy to make an initial implied volatility guess for ATM option through approximate price formula (0.4*sqrt(t)*vol). But how can I adopt this to use with non-ATM strikes?
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acastaldo
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Joined: October 11th, 2002, 11:24 pm

Vanilla options IV guess

September 18th, 2013, 9:45 am

look up the corrado and miller formula
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skullx
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Joined: January 27th, 2012, 5:43 pm

Vanilla options IV guess

September 18th, 2013, 11:54 am

Much obliged!
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