Saturday, February 11, 2017

Ahhh Implied volatility

As mentioned that wark was indeed resumed, I was doing extensive work on an AAPL ticker downloaded from google. When I compare it to the COEB (Chichago board of trade) I see that data is not in its complete form. But for playing purposes is just fine. Tough Implied volatility started to be calculated on a heard beat, I think there were either some problems with data but more likely with my algo calculating it. The put version is doing fine and is in pair with the volatility smile, however, the call version is having some problems being evaluated properly. Too many negative values (well only on the call side the negative values are emerging) but also there needs to be a small adjustment with time to maturity being expressed as a fraction of the year. But in any case... a graf was produced... any hints would be much appresciated. Thank you web for making all this things available for free for people to study and learn the beauty of python.

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