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Analysis Techniques & Strategies
| Name | Type | Default | Description |
| MaxPointProximity | Numeric | 20 | The Maximum number of points for strike prices to be considered in the weighting. |
| MaxPercentProximity | Numeric | 10.0 | The Maximum point percentage for strike prices to be considered in the weighting. |
| MaxSeriesProximity | Numeric | 3 | The maximum number of series out from the near series to be considered in the weighting. |
| UseProximityWeight | True/False | True | Choose to use weighting, or ignore it and average all options. |
The Implied Weighted Average calculates an average implied volatility number based on an average of the implied volatility of the options, both calls and puts, within the specified proximity to the asset price and near trading series. You can choose to ignore weighting and average all of the options in the analysis.
There are two strike proximity controls, Point and Percent. A value can be set for both, and the
volatility model will use the greater of the two values. Series proximity allows for the elimination
of far trading months in the calculation of average implied volatility. 1 = Nearest Trading Month, 2 = Next out trading month, etc.