Implied Volatility and Option Price

two queries ..

(1)I want to calculate fair value of NSE index option price ? I need current interest rate % to plug into the Black-Scholes formula. Where do I get current interest rate % ?


(2)Does (Implied Volatility) IV value changes throughout the day ?

Can someone please throw some light into this ...

u can use 4% rf interest rate. Makes no difference as long it is constant. U can even calculate without interest rate, many calculators have thet option.

Yes o f course IV changes through out

(2)Does (Implied Volatility) IV value changes throughout the day ?

Yes it doe's. Here some more information about the subject:

http://www.traderji.com/options/66266-option-trading-danpickup-12.html#post695750

Is there any site which shows live IV data in browser as similar to stock live price.

do you know any such site ?

nse site is ugly and inconvenient ..time consuming to find these..

wow ....somewhere I read 7% ....somewhere I found 9% ....now you said 4% .....this is now confusing.

would love to know the exact figure from a genuine source...no more assumption.....also does it changes on daily basis ?

please post your source.

I am taking the risk free interest rate as the savings bank rate...doesn't matter what u take as long as u keep it constant for all the calculations.

Ther is no exact figure..

thats a good idea

Thanks.

Can you please tell if there is any site which shows live IV data in browser as similar to stock live price.

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Pls remember: there is no free lunch

Also: will not make a big difference even if your would be able to get it real time

what do u plan to do with it ?

The daily difference is just a few bps