ImpliedVolatility (Function)
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);