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1. IV is backward calculation. Get the options calculator I told you about
from the CBOE website. Use the AFL I gave you to calculate the HV .
Calculate the option value using the calculator referred to before using the
HV from Ami as an input. Now key in the premia being demanded in the market.
and it will give you the IV.
2. Options for most stocks in India are a fool's game as they are illiquid.
Half the time you dont know if you need to use the HV for the underlying or
the HV for the SSF(single stock future) to value the options. The only
limited use that doesnt hit your bank account is as a hedge and that too if
you dont have to pay illogical premia for them. You may think differently as
this is a matter of opinion and I have stated mine.
R
On 10/11/06, rajneesh_dak <rajneesh_dak@xxxxxxxxxxx> wrote:
>
> seniors,
> 1.is IV a function of option data or price and calculated through
> backward calculation. or it is calculated through daily data data of
> scripts.
> 2. different scripts are having different IV.SO Their option pricing
> includes this expectation. but illiquid option do not reflect real
> price or this expectation. how can i calculate correct price of an
> option with the given set of data availble of scripts.
> i hope ur answer will unearth hidden mystery of option pricing in
> india. since most of them are highly illiquid.
> thanks
> rajneesh
>
>
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