ImpliedVolatility (Function)

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The ImpliedVolatility function calculates the market implied volatility for the specified option.  

Syntax

ImpliedVolatility(ExpMonth, ExpYear, StrikePr, Rate100, MktVal, PutCall, AssetPr);

Returns (Double)

A numeric value representing the market volatility of the specified option.    

Parameters

Name

Type

Description

ExpMonth

Numeric

Sets the expiration month of the option from 1 to 12 (enter January as 1).

ExpYear

Numeric

Sets the expiration year of the option in EasyLanguage date format, YYY (enter 106 for 2006).

StrikePr

Numeric

Sets the strike price of the option.

Rate100

Numeric

Sets the short-term risk free interest rate, usually the 90-day T-Bill, as a percentage (enter 4.9 for 4.9%).

MktVal

Numeric

Sets the market value of the option.   

PutCall

Numeric

Sets if it is a Put or Call option.  Put or 2 = Puts; Call or 3 = Calls.

AssetPr

Numeric

Sets the price of underlying asset.

Example

Assigns to Value1 the market implied volatility of a December 2006 Call option with the short-term 90-day T-Bill at 4.9%.

Value1 = ImpliedVolatility(12, 106, 70, 4.9, 8.125, Call, 73.875);