How to find the Implied Volatility of OPTIONS?

Dawood

Active Member
#1
Dear Members,I want to know how to calculate the Implied Volatility in excel.If somebody can help please post here.
Say we have,
1.Spot price.
2.Strike price.
3.Days to expiry.
4.Annual rate of interest(0.09 or 0.12 ?)
5.Call option or Put option.
6.Premium of the relevant option.
By feeding the above details how to calculate the Implied Volatility of an option.Please post the calculations here.Thanks in Advance.
 

Dawood

Active Member
#2
Somebody please come forward to resolve this...waiting to upload an options entry system based on these calculations.
 

rvlv

Active Member
#3
hi
just check this site
enter values in calculator
http://www.volatilitytrading.net/black_scholes_calculator.htm

Implied Volatility & Option Greeks Calculator
Black-Scholes Option Model

Implied volatility is based on the market price of an option and reflects the market's view of future stock price volatility. This calculator uses the Black-Scholes model to calculate implied volatility and the option greeks including delta, gamma, theta, vega and rho. Note that this model assumes European style options, resulting in no allowance for early exercise of the option.

Instructions
Stock Price
enter the stock price associated with the option price
Strike Price
enter option strike price
Option Price
enter the option price associated with the stock price and click either Call or Put to specify option type
Days to Expiration
enter number of days to option expiration or click on the calendar and specify the option expiration date. If you use the calendar, Days to Expiration will be calculated and entered by the program
Interest Rate
the current risk free interest rate as a percentage
Dividend Amount
enter amount of dividend if any
Dividend Date
enter dividend ex-distribution date
Dividend Frequency
select frequency of dividend
Get Symbol
if you need stock and option data, enter a stock symbol here and a pop up window will appear containing current stock and option prices

good luck
 

Dawood

Active Member
#4
Thanks for your reply, but i need the calculations to feed in excel, no use of any web sites to get the information.
 

Dawood

Active Member
#8
By simply double clicking Add-on will not work. You have to add add-in in excel. here is the procedure - http://peltiertech.com/WordPress/installing-an-add-in-in-excel-2007/

If you still have problem, let me know

Pravin
Still you are not getting my point,i added it in excel,opened it feed the inputs and got the results.But I need the formulas for getting the results which should be added in excel sheet to be linked with my trading terminal,so that I can get the premium of options at particular levels based on the current volatility conditions.
 

Dawood

Active Member
#10
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