re: Implied volatility Id be surprised if there was a volatilty thread on HC that auntie glenys DIDN’T contribute to. Thanks for giving me a lesson in vola (last year) and sending me back to the books. He who thinks he has nothing left to learn is doomed to repeat the mistakes of the past , or something like that.
Remmy is correct. You cant just plug in numbers backwards. You have to try differeent values until you get the right input for the call calue you want. BSOPM has v and "v squared" called saveral times within the one formula, and if you can use ALGEBRA (or a lateral solution) to solve it , you are a better man than I or Rembrandt. A formula for impl vola is not mentioned in the text books on BSOPM or any websites Ive seen.
So while maybe it can be done in theory, noones done it yet.
GKs macro is an intelligent solution, but it still does what goal seek does, by trying values in small increments until it gets it right, and as it takes longer to do than goal seek, it shouldn’t qualify for the cupie doll in my opinion.
I spent several hours loking at BSOPM last night, and managed to reduse it to a single cell formula. As id had it in 3 cells previously, d1 and d2 being separate, that work was worthwhile just for learning. I can now say that I understand the formula and not just rely on someone elses maths, and that in itself was worthwhile.
I came to the conclusion that there is nothing wrong with a macro that calls goal seek to solve inp vola, and that I have to keep my eye on the ball- being ; how good is the theory behind my trading systems?
So I can now query a server or watchlist, record every new intra day eto trade in a series, and table impl vola next to it. Big deal. So what conclusions can I draw from such observations? Wont know until we try.
At least its comforting to know that there are very few people in the world who have been where we are going. I have had many chats with Microsofts employed Excel programmers via newgroups, and they confirm that there are very few people in the world who are using web query in excel to record and chart this sort of stuff. Last week I found a bug in Excel for web queries that had never been found before. So while these known problems are out there, not many day traders are doing this stuff. There are rewards for those that tread the uncharted paths.
So just for fun, heres my maths on a BOPM call formula for calls, Where
C1 = price of stock
C2= strike price
C3= time (in years)
C4= cash rate
C5= volatility
Call=(C1*NORMSDIST((LN(C1/C2)+((C4+POWER(C5,2)/2)*D3))/(C5*SQRT(D3))))
-(C2*POWER(2.718,C4*D3)*NORMSDIST((LN(C1/C2)+((C4+POWER(C5,2)/2)*D3))
/(C5*SQRT(D3))-C5*SQRT(D3)))
See how many times C5 (volatility) is used , and WHERE it is used, as powers and multiplying Sq roots???
So go ahead and reduce it to an equation for C5. I’ll see you next year at the nobel awards for economics if you suceed. LOL
Anyway, you can copy my equation into excel if you are new at this stuff. Let me know if you want the put formula.
Andrew
Still chopping wood, carrying water.
- Forums
- ASX - General
- Warrants help please
Warrants help please, page-14
-
- There are more pages in this discussion • 8 more messages in this thread...
You’re viewing a single post only. To view the entire thread just sign in or Join Now (FREE)