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baron11
08-05-2008, 12:12 PM
Does anyone have a program/macro that can back out implied volatility from Black Scholes/Garman Kolhagen for calls, puts and stradddles ?

Aussiebear
08-06-2008, 02:40 AM
Can you explain in greater detail, just what it is that you want this program/macro to do?

'back out implied volatility" is far too general in descriptive terms for anyone to be in a position to assist you in this matter.

Bob Phillips
08-06-2008, 02:47 AM
I know far too little about option price calculations to answer your question myself, it is 10 years since I dealt with them and then it was under direction of someone who understood the calculations <g>, but this addin claims to handle implied volatilies, http://wareseeker.com/download/opti-calc-option-analysis-add-in-for-excel-2.5.rar/2828

andrewhay
03-11-2011, 05:27 AM
Well I have been using a subscribed package from livevol It is providing me historic data which is required to do analysis of implied volatility along with some very interesting tool to import the data easily rest is known by our analyst.