[R-SIG-Finance] Implied Volatility

[Victor Montanez]

https://cmlviz.com

Look for Options backtester.

Just for an idea.

-----Original Message-----
From: R-SIG-Finance [mailto:r-sig-finance-bounces at r-project.org] On Behalf
Of Frank
Sent: Saturday, February 10, 2018 10:32 AM
To: 'Christofer Bogaso' <bogaso.christofer at gmail.com>;
r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] 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
out-of-the-money options. 

https://datashop.cboe.com/



Best,

Frank
Chicago

-----Original Message-----
From: R-SIG-Finance [mailto:r-sig-finance-bounces at r-project.org] On Behalf
Of Christofer Bogaso
Sent: Thursday, February 08, 2018 2:43 PM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] 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.

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