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DC:
>Problem is that Implied Volatility (IVolatility, see bellow) is
>not working for Futures contracts. It works only for stocks. So I
>cannot compute the synthetic prices of Call and Put options and
>backtest my option selling strategies.
>
>Question: Do you know why it is not working and when it will be fixed?
First: You should direct this question to Tradestation Securities,
not the Omega list.
Second: I may be wrong, but I think Implied Volatility has to be
part of the data feed for IVolatility to work, and it isn't part of
the data feed for futures. You'd have to calculate it yourself, but
there is no direct solution to do it. You need a numerical method
as well as the option price data.
Third: Implied volatility depends on strike price. It would be
constant with respect to strike if market return distributions were
gaussian, but they're not. Therefore it doesn't make much sense to
have it in a data feed. Frankly I'm surprised it's even available;
it's a meaningless number if you don't know the strike price to
which it corresponds.
You could use historical volatility (standard deviation of monthly
returns) as a surrogate for implied volatility.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \ Unicorn Research Corporation -- http://unicorn.us.com
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