How to input Volatility and Rate of Interest?

M

mozillan

Member
#1
#1
On a Near Month Call option, what would the Implied Volatility be- Daily Volatility or Annualised Volatility? For example- Nifty 5500 Call (25OCT2007) closed at Rs. 110.40 on 12-10-2007. The Daily Volatility was 1.94 and the Annualised Volatility was 37.08. Which figure should be entered? Also, what is the Rate of Interest? Where to get the Rate of Interest from? Supposing the ROI is 8% PA. Should we divide this by the number of days to expiry or should we divide it by 12 (1 month Call) or should we take it as it is? Thanks for your inputs.
 
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