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.


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.



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.

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Default Value: 50  |  Minimum: 0  |  Maximum: 99999


Type: Numeric



Default Value: -1


Type: Boolean



Default Value: 2  |  Minimum: 0  |  Maximum: 100


Type: Numeric



Default Value: 365  |  Minimum: 365  |  Maximum: 366


Type: Numeric



Default Value: 15  |  Minimum: 1  |  Maximum: 31


Type: Numeric



Default Value: 6  |  Minimum: 1  |  Maximum: 12


Type: Numeric



Default Value: 2012  |  Minimum: 0  |  Maximum: 9999


Type: Numeric