implied_volatility

Function Name: implied_volatility

Tags: Relation

Category: Volatility

The estimated volatility of a security's price. In general, implied volatility increases when the market is bearish and decreases when the market is bullish. This is due to the common belief that bearish markets are more risky than bullish markets In addition to known factors such as market price, interest rate, expiration date, and strike price, implied volatility is used in calculating an option's premium. IV can be derived from a model such as the Black-Scholes Model.

Note:

The calculation is based on Black-Scholes Model. The chart that study is applied to must have two securities displayed: One for SpotPrice and the other for OptionPrice.

 

Parameters:

StrikePrice: Strike price of the option.

IsCallOption: If call option, set to True. If put option, then set to False.

InterestRatePrecent: Central bank interest rate.

DaysPerYear: Number of days in a year. This number is used to divide the number of days remaining so it can be multiplied with interest rate.

ExpDay, ExpMonth, ExpYear: Date of option expiration.

Read more: http://www.investopedia.com/terms/i/iv.asp#ixzz1hG2b6o2n

 

StrikePrice
	Default Value: 50  |  Minimum: 0  |  Maximum: 99999
	Type: Numeric
IsCallOption
	Default Value: -1
	Type: Boolean
InterestRatePercent
	Default Value: 2  |  Minimum: 0  |  Maximum: 100
	Type: Numeric
DaysPerYear
	Default Value: 365  |  Minimum: 365  |  Maximum: 366
	Type: Numeric
ExpDay
	Default Value: 15  |  Minimum: 1  |  Maximum: 31
	Type: Numeric
ExpMonth
	Default Value: 6  |  Minimum: 1  |  Maximum: 12
	Type: Numeric
ExpYear
	Default Value: 2012  |  Minimum: 0  |  Maximum: 9999
	Type: Numeric