

Hi,
Let say I have an Option chain for a typical Equity underlying with
varying Strike prices and for both Call and Put. Option chain is
available for multiple maturities.
Based on above information, I would require to come up with a single
Annualized volatility (implied) number for the underlying Equity.
Can somebody point me, how this can be done in practice? Any research
paper, Weblink will be highly appreciated.
Thanks for your time.
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Hi,
Implied volatility is model based volatility. Due to the shortcomings of
the Black Scholes model there are in fact multiple implied volatilities on
the same underlying, one implied volatility per strike and expiration.
Typically one would be interested in ATM IV  at the money implied
volatility for a given expiration. IV is calculated from raw bid/ask option
prices using Black Scholes model (inverse problem). For missing option
prices IV can be interpolated, typically using parameterized SABR model.
I’ll gid out few pdfs and send you over.
Slavo
On Thu, 8 Feb 2018 at 21:42, Christofer Bogaso < [hidden email]>
wrote:
> Hi,
>
> Let say I have an Option chain for a typical Equity underlying with
> varying Strike prices and for both Call and Put. Option chain is
> available for multiple maturities.
>
> Based on above information, I would require to come up with a single
> Annualized volatility (implied) number for the underlying Equity.
>
> Can somebody point me, how this can be done in practice? Any research
> paper, Weblink will be highly appreciated.
>
> Thanks for your time.
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/rsigfinance>  Subscriberposting only. If you want to post, subscribe first.
>  Also note that this is not the rhelp list where general R questions
> should go.
>
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Well there is also "ModelFree Implied Volatility" which is computed for
each expiry from all available strikes. That may be more relevant,
depending on what your goal is.
See for example: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2220067On Thu, Feb 8, 2018 at 4:02 PM, Slavo Matasovsky < [hidden email]>
wrote:
> Hi,
>
> Implied volatility is model based volatility. Due to the shortcomings of
> the Black Scholes model there are in fact multiple implied volatilities on
> the same underlying, one implied volatility per strike and expiration.
> Typically one would be interested in ATM IV  at the money implied
> volatility for a given expiration. IV is calculated from raw bid/ask option
> prices using Black Scholes model (inverse problem). For missing option
> prices IV can be interpolated, typically using parameterized SABR model.
> I’ll gid out few pdfs and send you over.
>
> Slavo
> On Thu, 8 Feb 2018 at 21:42, Christofer Bogaso <
> [hidden email]>
> wrote:
>
> > Hi,
> >
> > Let say I have an Option chain for a typical Equity underlying with
> > varying Strike prices and for both Call and Put. Option chain is
> > available for multiple maturities.
> >
> > Based on above information, I would require to come up with a single
> > Annualized volatility (implied) number for the underlying Equity.
> >
> > Can somebody point me, how this can be done in practice? Any research
> > paper, Weblink will be highly appreciated.
> >
> > Thanks for your time.
> >
> > _______________________________________________
> > [hidden email] mailing list
> > https://stat.ethz.ch/mailman/listinfo/rsigfinance> >  Subscriberposting only. If you want to post, subscribe first.
> >  Also note that this is not the rhelp list where general R questions
> > should go.
> >
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/rsigfinance>  Subscriberposting only. If you want to post, subscribe first.
>  Also note that this is not the rhelp list where general R questions
> should go.
>
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Check out Jim Gatherals web site for the implied volatility modeling
approaches including latest Rough Volatility models...
https://mfe.baruch.cuny.edu/jgatheral/http://faculty.baruch.cuny.edu/jgatheral/ImpliedVolatilitySurface.pdfhttps://www.amazon.com/VolatilitySurfacePractitionersGuide/dp/0471792519On Thu, 8 Feb 2018 at 22:02, Slavo Matasovsky < [hidden email]> wrote:
> Hi,
>
> Implied volatility is model based volatility. Due to the shortcomings of
> the Black Scholes model there are in fact multiple implied volatilities on
> the same underlying, one implied volatility per strike and expiration.
> Typically one would be interested in ATM IV  at the money implied
> volatility for a given expiration. IV is calculated from raw bid/ask option
> prices using Black Scholes model (inverse problem). For missing option
> prices IV can be interpolated, typically using parameterized SABR model.
> I’ll gid out few pdfs and send you over.
>
> Slavo
> On Thu, 8 Feb 2018 at 21:42, Christofer Bogaso <
> [hidden email]> wrote:
>
>> Hi,
>>
>> Let say I have an Option chain for a typical Equity underlying with
>> varying Strike prices and for both Call and Put. Option chain is
>> available for multiple maturities.
>>
>> Based on above information, I would require to come up with a single
>> Annualized volatility (implied) number for the underlying Equity.
>>
>> Can somebody point me, how this can be done in practice? Any research
>> paper, Weblink will be highly appreciated.
>>
>> Thanks for your time.
>>
>> _______________________________________________
>> [hidden email] mailing list
>> https://stat.ethz.ch/mailman/listinfo/rsigfinance>>  Subscriberposting only. If you want to post, subscribe first.
>>  Also note that this is not the rhelp list where general R questions
>> should go.
>>
>
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 Also note that this is not the rhelp list where general R questions should go.


The Chicago Board of Options sells data that includes implied volatility and
the Greeks (Delta, Gamma, Theta, Vega, Rho, Alexander) for $7.69 per month.
The data can be daily (one file for each day), monthly (one file for each
month) or annually (one file for each year). Volume, open interest and close
are included so you can weight and sum the volatilities many different ways.
You could also use Vega to give more weight to options that are more
sensitive to volatility changes.
The data for SPY can be quite voluminous. I pull the data into an Access
2016 database using a stored spec for the way the data is formatted and then
filter out data with no volume or open interest. I also only look at
outofthemoney options.
https://datashop.cboe.com/Best,
Frank
Chicago
Original Message
From: RSIGFinance [mailto: [hidden email]] On Behalf
Of Christofer Bogaso
Sent: Thursday, February 08, 2018 2:43 PM
To: [hidden email]
Subject: [RSIGFinance] Implied Volatility
Hi,
Let say I have an Option chain for a typical Equity underlying with varying
Strike prices and for both Call and Put. Option chain is available for
multiple maturities.
Based on above information, I would require to come up with a single
Annualized volatility (implied) number for the underlying Equity.
Can somebody point me, how this can be done in practice? Any research paper,
Weblink will be highly appreciated.
Thanks for your time.
_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/rsigfinance Subscriberposting only. If you want to post, subscribe first.
 Also note that this is not the rhelp list where general R questions
should go.
_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/rsigfinance Subscriberposting only. If you want to post, subscribe first.
 Also note that this is not the rhelp list where general R questions should go.


https://cmlviz.comLook for Options backtester.
Just for an idea.
Original Message
From: RSIGFinance [mailto: [hidden email]] On Behalf
Of Frank
Sent: Saturday, February 10, 2018 10:32 AM
To: 'Christofer Bogaso' < [hidden email]>;
[hidden email]
Subject: Re: [RSIGFinance] Implied Volatility
The Chicago Board of Options sells data that includes implied volatility and
the Greeks (Delta, Gamma, Theta, Vega, Rho, Alexander) for $7.69 per month.
The data can be daily (one file for each day), monthly (one file for each
month) or annually (one file for each year). Volume, open interest and close
are included so you can weight and sum the volatilities many different ways.
You could also use Vega to give more weight to options that are more
sensitive to volatility changes.
The data for SPY can be quite voluminous. I pull the data into an Access
2016 database using a stored spec for the way the data is formatted and then
filter out data with no volume or open interest. I also only look at
outofthemoney options.
https://datashop.cboe.com/Best,
Frank
Chicago
Original Message
From: RSIGFinance [mailto: [hidden email]] On Behalf
Of Christofer Bogaso
Sent: Thursday, February 08, 2018 2:43 PM
To: [hidden email]
Subject: [RSIGFinance] Implied Volatility
Hi,
Let say I have an Option chain for a typical Equity underlying with varying
Strike prices and for both Call and Put. Option chain is available for
multiple maturities.
Based on above information, I would require to come up with a single
Annualized volatility (implied) number for the underlying Equity.
Can somebody point me, how this can be done in practice? Any research paper,
Weblink will be highly appreciated.
Thanks for your time.
_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/rsigfinance Subscriberposting only. If you want to post, subscribe first.
 Also note that this is not the rhelp list where general R questions
should go.
_______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/rsigfinance Subscriberposting only. If you want to post, subscribe first.
 Also note that this is not the rhelp list where general R questions
should go.
_______________________________________________
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 Also note that this is not the rhelp list where general R questions should go.


Or checkout QuantConnect algo backtester... and their support for Option
startegies... including data...
https://www.quantconnect.com/tutorials/appliedoptions/https://www.quantconnect.com/tutorials/introductionoptionshistoricalvolatilityimpliedvolatility/On Sat, 10 Feb 2018 at 18:25, Victor Montanez < [hidden email]>
wrote:
> https://cmlviz.com>
> Look for Options backtester.
>
> Just for an idea.
>
> Original Message
> From: RSIGFinance [mailto: [hidden email]] On Behalf
> Of Frank
> Sent: Saturday, February 10, 2018 10:32 AM
> To: 'Christofer Bogaso' < [hidden email]>;
> [hidden email]
> Subject: Re: [RSIGFinance] Implied Volatility
>
> The Chicago Board of Options sells data that includes implied volatility
> and
> the Greeks (Delta, Gamma, Theta, Vega, Rho, Alexander) for $7.69 per month.
> The data can be daily (one file for each day), monthly (one file for each
> month) or annually (one file for each year). Volume, open interest and
> close
> are included so you can weight and sum the volatilities many different
> ways.
> You could also use Vega to give more weight to options that are more
> sensitive to volatility changes.
>
> The data for SPY can be quite voluminous. I pull the data into an Access
> 2016 database using a stored spec for the way the data is formatted and
> then
> filter out data with no volume or open interest. I also only look at
> outofthemoney options.
>
> https://datashop.cboe.com/>
>
>
> Best,
>
> Frank
> Chicago
>
> Original Message
> From: RSIGFinance [mailto: [hidden email]] On Behalf
> Of Christofer Bogaso
> Sent: Thursday, February 08, 2018 2:43 PM
> To: [hidden email]
> Subject: [RSIGFinance] Implied Volatility
>
> Hi,
>
> Let say I have an Option chain for a typical Equity underlying with varying
> Strike prices and for both Call and Put. Option chain is available for
> multiple maturities.
>
> Based on above information, I would require to come up with a single
> Annualized volatility (implied) number for the underlying Equity.
>
> Can somebody point me, how this can be done in practice? Any research
> paper,
> Weblink will be highly appreciated.
>
> Thanks for your time.
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/rsigfinance>  Subscriberposting only. If you want to post, subscribe first.
>  Also note that this is not the rhelp list where general R questions
> should go.
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/rsigfinance>  Subscriberposting only. If you want to post, subscribe first.
>  Also note that this is not the rhelp list where general R questions
> should go.
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/rsigfinance>  Subscriberposting only. If you want to post, subscribe first.
>  Also note that this is not the rhelp list where general R questions
> should go.
>
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Hi Chris,
If you are looking for a number (not a smile or a surface) of volatility,
probably a variance swap methodology can help you with it
please start with it
http://www.emanuelderman.com/media/gsvolatility_swaps.pdfif it fits  googling
Kind regards,
Oleg
On Thu, Feb 8, 2018 at 8:42 PM, Christofer Bogaso <
[hidden email]> wrote:
> Hi,
>
> Let say I have an Option chain for a typical Equity underlying with
> varying Strike prices and for both Call and Put. Option chain is
> available for multiple maturities.
>
> Based on above information, I would require to come up with a single
> Annualized volatility (implied) number for the underlying Equity.
>
> Can somebody point me, how this can be done in practice? Any research
> paper, Weblink will be highly appreciated.
>
> Thanks for your time.
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/rsigfinance>  Subscriberposting only. If you want to post, subscribe first.
>  Also note that this is not the rhelp list where general R questions
> should go.
>


Kind Regards,
Oleg Mubarakshin
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Variance and volatility swaps are forward contracts on realized
variance/volatility... varswaps/volatility swaps can be priced using
replication strategy resulting in replicating static portfolio of call/put
options for variance swap or dynamic portfolio of options for volatililty
swaps...
Following books cover both volatility modeling as well as volatility
products...
Gatheral  Volatility Surface
https://www.amazon.com/VolatilitySurfacePractitionersGuide/dp/0471792519Austing  Smile Pricing Explained
https://www.palgrave.com/gp/book/9781137335715On Mon, 12 Feb 2018 at 21:57, Oleg Mubarakshin < [hidden email]>
wrote:
> Hi Chris,
>
> If you are looking for a number (not a smile or a surface) of volatility,
> probably a variance swap methodology can help you with it
> please start with it
> http://www.emanuelderman.com/media/gsvolatility_swaps.pdf> if it fits  googling
>
> Kind regards,
> Oleg
>
> On Thu, Feb 8, 2018 at 8:42 PM, Christofer Bogaso <
> [hidden email]> wrote:
>
> > Hi,
> >
> > Let say I have an Option chain for a typical Equity underlying with
> > varying Strike prices and for both Call and Put. Option chain is
> > available for multiple maturities.
> >
> > Based on above information, I would require to come up with a single
> > Annualized volatility (implied) number for the underlying Equity.
> >
> > Can somebody point me, how this can be done in practice? Any research
> > paper, Weblink will be highly appreciated.
> >
> > Thanks for your time.
> >
> > _______________________________________________
> > [hidden email] mailing list
> > https://stat.ethz.ch/mailman/listinfo/rsigfinance> >  Subscriberposting only. If you want to post, subscribe first.
> >  Also note that this is not the rhelp list where general R questions
> > should go.
> >
>
>
>
> 
> 
> Kind Regards,
> Oleg Mubarakshin
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/rsigfinance>  Subscriberposting only. If you want to post, subscribe first.
>  Also note that this is not the rhelp list where general R questions
> should go.
>
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Hello,
I thought I’d add my 2 cents to this excellent list of volatility
literature.
https://vlab.stern.nyu.edu/en/ a tool for quick vol forecasting analysis.
Though it doesn’t use Implied Vol, it may be helpful to compare.
Thanks,
Erol
On Mon, Feb 12, 2018 at 4:21 PM Slavo Matasovsky < [hidden email]>
wrote:
> Variance and volatility swaps are forward contracts on realized
> variance/volatility... varswaps/volatility swaps can be priced using
> replication strategy resulting in replicating static portfolio of call/put
> options for variance swap or dynamic portfolio of options for volatililty
> swaps...
>
> Following books cover both volatility modeling as well as volatility
> products...
>
> Gatheral  Volatility Surface
> https://www.amazon.com/VolatilitySurfacePractitionersGuide/dp/0471792519>
> Austing  Smile Pricing Explained
> https://www.palgrave.com/gp/book/9781137335715>
> On Mon, 12 Feb 2018 at 21:57, Oleg Mubarakshin < [hidden email]
> >
> wrote:
>
> > Hi Chris,
> >
> > If you are looking for a number (not a smile or a surface) of volatility,
> > probably a variance swap methodology can help you with it
> > please start with it
> > http://www.emanuelderman.com/media/gsvolatility_swaps.pdf> > if it fits  googling
> >
> > Kind regards,
> > Oleg
> >
> > On Thu, Feb 8, 2018 at 8:42 PM, Christofer Bogaso <
> > [hidden email]> wrote:
> >
> > > Hi,
> > >
> > > Let say I have an Option chain for a typical Equity underlying with
> > > varying Strike prices and for both Call and Put. Option chain is
> > > available for multiple maturities.
> > >
> > > Based on above information, I would require to come up with a single
> > > Annualized volatility (implied) number for the underlying Equity.
> > >
> > > Can somebody point me, how this can be done in practice? Any research
> > > paper, Weblink will be highly appreciated.
> > >
> > > Thanks for your time.
> > >
> > > _______________________________________________
> > > [hidden email] mailing list
> > > https://stat.ethz.ch/mailman/listinfo/rsigfinance> > >  Subscriberposting only. If you want to post, subscribe first.
> > >  Also note that this is not the rhelp list where general R questions
> > > should go.
> > >
> >
> >
> >
> > 
> > 
> > Kind Regards,
> > Oleg Mubarakshin
> >
> > [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > [hidden email] mailing list
> > https://stat.ethz.ch/mailman/listinfo/rsigfinance> >  Subscriberposting only. If you want to post, subscribe first.
> >  Also note that this is not the rhelp list where general R questions
> > should go.
> >
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
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> https://stat.ethz.ch/mailman/listinfo/rsigfinance>  Subscriberposting only. If you want to post, subscribe first.
>  Also note that this is not the rhelp list where general R questions
> should go.
>

Erol Biceroglu
*LinkedIn < http://ca.linkedin.com/in/erolbiceroglu>  Wordpress
< https://propfoliomanagement.wordpress.com/>*
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