[R-SIG-Finance] Implied Volatility

[Slavo Matasovsky]

Or checkout QuantConnect algo backtester... and their support for Option
startegies... including data...

https://www.quantconnect.com/tutorials/applied-options/

https://www.quantconnect.com/tutorials/introduction-options-historical-volatility-implied-volatility/

On Sat, 10 Feb 2018 at 18:25, Victor Montanez <syracusepro at verizon.net>
wrote:

> 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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