Is implied volatility of a stock is the iv on at the money strike prices

[cinderblock]

To make it even simpler, suppose I ask you this directly, that ok sir, tell me the IV of DLF at todays market close time. Then what would be your answer for this, and how exactly would you calculate this IV of DLF, as a whole ......

The nse uses CBOE methodology to calculate volatility of stock/index. If you have a math background you can go through the paper and understand it.

A better way is as smeaglegollum suggested is to just use HV and the results will be similar

Select the closing prices column in excel for say a year of data. Use the std dev function and then square it. You get HV. Takes 5 sec. Or use a std dev function/library in Python and you can calc it for all 50 stocks. But the data is usually already available.

 

[mohan.sic]

The IV derived from option price is the volatility of underlying itself.

Read it up on the nse website or on the CBOE how VIX is calculated. Of course you are free to believe its rubbish.

https://www.google.co.in/url?sa=t&s...FjAAegQIABAB&usg=AOvVaw15ecN4pxpjTRM9WnV4dyVS

Hi,

Difficult to verify 15 page document. Please copy and paste the lines where it says iv derived from option price is volt of underlying itself.

what I said rubbish was about different thing. Lets first finish the above point.

 

[mohan.sic]

Mohan ji, I just wanted to say, that if we have to quote some IV value for DLF and UNITECH etc. then how could we possible state that IV Value, because neither the stock, nor the futures contract have any IV Value, and only the Individual Call and Put Contracts of these realty sector stocks have got their separate IV values.

So is there any accepted and sensible method, by which one could assign a single IV Value to DLF and Unitech and all such stocks of a given sector ?
I have seen online on a few sites like Myfno etc. that they assign single IV Value to DLF and all other counters. I am trying to figure out, how do they do it, and if that is the correct way to do it.

To make it even simpler, suppose I ask you this directly, that ok sir, tell me the IV of DLF at todays market close time. Then what would be your answer for this, and how exactly would you calculate this IV of DLF, as a whole ?

I hope I have clarified my question. Once again, thank you so much for sharing your insights.

Best Regards

Your question is very clear. I understand that you want to analyze based on these iv's numbers and their changes. May be a case study like: High iv/ Low iv -how the price is reacting or vice versa, Iv changes and how prices are moving accordingly & Kind of stuff ….am I correct to some extent ?

 

[cinderblock]

Hi,

Difficult to verify 15 page document. Please copy and paste the lines where it says iv derived from option price is volt of underlying itself.

what I said rubbish was about different thing. Lets first finish the above point.

What do you think VIX is?

Whose volatility is it?

 

[mohan.sic]

What do you think VIX is?

Whose volatility is it?

dear,

Please copy and paste the lines where it says iv derived from option price is volt of underlying itself.

 

[cinderblock]

dear,

Please copy and paste the lines where it says iv derived from option price is volt of underlying itself.

, the standard deviation of the stock's returns; this is the square root of the quadratic variation of the stock's log price process;

 

[trendtrade]

Your question is very clear. I understand that you want to analyze based on these iv's numbers and their changes. May be a case study like: High iv/ Low iv -how the price is reacting or vice versa, Iv changes and how prices are moving accordingly & Kind of stuff ….am I correct to some extent ?

Yes sir, you got it correct to all extent.

Now, a kind request, to all participants in this thread. Just because mohan sir has used a word "Rubbish" doesn't mean that he has disrespect torwards some particular member or concept. We should take his replies in the right spirit.

IV is very important concept for any option trader and mostly we do not pay attention to the details and just blindly believe whatever we see on the internet. So if some experienced traders are discussing about IV here in this thread, in an open minded manner, without getting egoistic about it, then that would be very beneficial for all the community members here. So dear friends, please let the discussion go on in the right direction.

Thanks and best regards

 

[cinderblock]

"Getting Started
The VIX Index measures 30-day expected volatility of the S&P 500 Index. The components of the VIX Index are near- and
next-term put and call options with more than 23 days and less than 37 days......"

https://www.cboe.com › micro › vixwhite
Page 5. Getting started

Like it says volatility of SP INDEX

 

[cinderblock]

Yes sir, you got it correct to all extent.

Now, a kind request, to all participants in this thread. Just because mohan sir has used a word "Rubbish" doesn't mean that he has disrespect torwards some particular member or concept. We should take his replies in the right spirit.

Of course in the same way, i didnt mean to disrespect either..

 

[trendtrade]

Of course in the same way, i didnt mean to disrespect either..

Yes sir, that's the spirit.

Thank you so much for carrying forward the discussion. I hope we will get the answer, as to how exactly the IV of an underlying is calculated, as it is widely published on the internet on many sources.

Although I perfectly understand the logic of Mohan ji as well and till now, I completely agree with that. I also think that we cannot have an IV value for an underlying, as it is specifically for the option contracts only. But I am confused by seeing the IV of individual counters like DLF, Unitech etc. mentioned on the online sources.

Best regards