There are several programs out there that purport to give you an accurate picture of the implied volatilities. Sadly, some of them are not accurate at all. I had put up a nice(?) program I wrote in Matlab to compute the Implied Volatility of options on a set of strikes. The good thing about the program is that it computes the implied volatility for several strikes and price and not individually. Also, it is very accurate. You specify the yearly rate of return, the yearly dividend yield(if any) and the underlying price. You can put the strikes and their respective prices in an excel file. The first column would be the strike prices and the second column would be the prices. Leave the third column empty. This is where the program will write the implied volatilities. You can also plot the implied volatility smile or skew.
Here is a screen shot to give you an idea:
How Does it Work
First, you make a an excel sheet. In the first column write the Strikes. In the second, write the prices for the respective strikes. This should like something like this:
After you have this file. Specify if you are computing for a call option or a put option in the check box. Make sure you only chose one unless you want to drive my program crazy! Then specify the current underlying price, the time to maturity (you can chose to write it in either days, months or years just make sure you check the right radio button)
Make sure you put in the rate the yearly interest (0.04 is 4% yearly interest. So make sure you put a decimal number there). For the dividend yield, this is the yearly compounded dividend yield of the stock/index. It should be a decimal number. If you don’t know what it is, it’s best to put 0 there.
Importing Data
After you are done, press the import data and chose the excel file you had made. Click on it and voila. It’ll write in the 3rd column the respective implied volatilities:
Plotting the graph
After all that, you can plot the graph of the implied volatilities against the strike prices. The green dots is the data and the blue line is the interpolated data. This should give you an idea of how the implied volatility look likes. It is generally sloping downward.
For information about why check out the post about the volatility smile. I intend to add many more features to it in the future. I want to also add the implied risk neutral distribution and many more nice things. So stay tuned about that. If you have anymore things you’d like to see in there (which are feasible of course) tell me. I’d be happy to have feedback.
Download
Here is the downside: This was written in Matlab. When I checked to see how this can be distributed to people without Matlab, I had discovered that you have to install first some (very?) big file which is 76 mbs. It is called MCRInstaller. But after you install this once, you can load any program that was compiled in Matlab. I intend to add many more features to the program which will make it a nice cool freeware for you to use so if you got some patience, be my guest and download it.
After you have downloaded this file, you can download the Implied Volatility Calculator. It is only 3 mbs so it’ll be a piece of cake now.
I’d appreciate any comments and suggestions for later upgrades.
If you liked this post, buy me a beer
Hi,
That was very interesting.. I’m just beginning to learn about options. How can I compute the implied volatility using excel? I don’t underrstand matlab..
Thanks
Aparna
Interesting. It would have been better of you provided an example xls file together with the GUI calculator!
Speculator, thanks so much for your great blog. Would it be too much trouble to repost the matlab files for calculating implied volatility? I can’t find the matlab files alone, only the implied.rar file–Abby
Its very nice..but pls tell me how to use implied volatility calcultor? how to run it..as its not showing any icone or else in my laptop. pls tell me how to do it…?
Thank you G,
you are 2 good 2 B true
I find your writings very interesting and enrich
Probably the best blog I read regarding options
Here is a nice site, read the instructions,do exactly what is written and you ll hve all the greeks including implied volantility
as build in functions of exell
http://www.power4xl.com/black_scholes/functions.html
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Thanks for showing this idea but the whole scenario is only about the basic to calculate implied volatility. Implied volatility is sometimes having good measures to shows the exact market prices conditions.
But thanks anyway for having this post stuffed with great information.
Implied volatility
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