implied-volatility

  1. Difference in exposure between delta hedged options, ATM straddles and delta hedged straddles

  2. Gamma Pnl vs Vega Pnl
  3. calculating implied volatility of Asian Option
  4. High-frequency historical IV data

  5. FX Option strikes from ATM, RR, BF quotes
  6. Obtaining swaption prices from lognormal volatility quotes
  7. BInary Option implied volaltility

  8. Value of Call Option as Volatility goes to Infinity

  9. Autocallable pricing under stochastic vs. local volatility
  10. Historical Implied Volatility Calculation

  11. Anomaly detection in volatility skews / term structure

  12. Converting No-Arb Conditions to Moneyness Space

  13. Proof for ATM delta with Local col

  14. MTM Hedging Performance of Vanna-Volga

  15. What methods are there for parametrizing a volatility surface?

  16. How to calculate the implied daily move of a spread between two futures contracts?

  17. Jim Gatheral's assertion on ATM implied volatility vs. square root variance
  18. Local variance derivation by Gatheral

  19. SSR definition in Bergomi in relation to sticky strike and sticky delta
  20. Implied Vol skew VS Local Vol skew (as presented by Derman 1995)
  21. Which volatility input for in-arrear convexity correction?

  22. For pricing, what types of Exotic Options are suitable using Local Volatility Model or a Stochastic Volatility Model?

  23. Data on Options on US-Treasury Futes
  24. Can VIX be interpreted as a proxy for instantaneous volatility?
  25. Marking implied vol surface daily with sticky strike and sticky delta

  26. American options -- doing better than Black's approximation when $r = 0$
  27. Implied Volatility of cross currency pairs
  28. Building implied binomial tree with American input options

  29. Why has the Bachelier implied volatility an elevated curvature than the BS implied volatility?
  30. Research topic on volatility

  31. Flaw in the following argument with Binary Options and Skew
  32. Why hasn't SVXY recouped more of its lost value as vol has crashed in the past 2 weeks?
  33. Rebasing of Cap Volatilities
  34. Nature of short VIX strategies
  35. Where can I find open swaption implied volatility data?

  36. Use of cap volatilities
  37. Regressing Implied Volatility on Historical Volatility - Should I regress using daily returns?

  38. Jim Gatheral's claim on the decay of the effect of jumps on the final return distribution
  39. ATMF Volatility Surface. Read off vol for Options on spot and vol for Options on futures contract
  40. Jim Gatheral's ansatz

  41. Implied Volatility of stock on Think or Swim
  42. What does the VIX formula measure and how does it work?

  43. No arbitrage conditions for normal implied volatility

  44. Quantlib: AmericanOption implied volatility / root not bracketed
  45. Local vol, stochastic vol, implied vol

  46. Implied volatility and greeks for american option with discrete dividends

  47. Equity Options - "How do I build a forward simulation model with regards to shocks in spot pricing and IV?"
  48. (C++) Monte Carlo pricer for SABR model to test Hagan / Paulot formulas

  49. How are the BKM risk-neutral moments derived?
  50. What's the cutting edge way to model Vol Surfaces?
  51. Barrier option with Rebate
  52. Quoting options with reference price and delta
  53. Arbitrage of the Volatility Smile and Its Implied Tree

  54. XIV Positive Roll Yield

  55. Should I interpolate before or after to find option price using Vanna-Volga method?
  56. How to derive this approximation of the risk-neutral expectation of the variance?

  57. Probability integral transforms of risk-neutral densities

  58. IVF and implied distribution of underlying in John Hull's book

  59. How to extrapolate implied volatility for out of the money options?
  60. Proof of arbitrage-free implied volatility surface in relation to local volatility surfaces
  61. How to calculate the implied volatility using the binomial options pricing model
  62. Where to get historical IV rank & IV percentile data?

  63. How can I calculate the "Probability of Touch" for a stock?
  64. Relationship between Implied Volatility Curve Derivatives and the Underlying's Moments
  65. "Black-Scholes model implies flat implied volatility plots"?

  66. Daily Return to Approximate Annualized Realized Volatility 16 or 20?

  67. Build Implied Volatility Smile

  68. Time frame for implied vs realized vol
  69. Why is the volatility smile so important
  70. probability of default using the Merton Model

  71. estimate implied volatility using newton-raphson in python

  72. What is The Closed-Form Implied Volatility Estimator (As Defined by Hallerbach 2004) for A Put Option?
  73. Why can't you arb skew by buying options with low implied vol and selling high implied vol in the same month and dynamically hedging?
  74. Does implied vol vary for calls vs puts?
  75. How do I calculate annual implied volatility from an intraday thinkorswim chart?
  76. What is the longest number of consecutive days that options implied volatility has stayed "extremely high" for any particular underlying?

  77. What is the formula for Intraday and overnight volatility?
  78. How to derive the implied probability distribution from B-S volatilities?
  79. Why is the ATM vol kind of an average volatility

  80. Commodity options time to expiry conventions?

  81. Black Scholes Implied Volatility -> Put call parity

  82. ATM-implied volatility

  83. What does implied volatility means for different call and put strike prices?

  84. Absolute or relative strikes?

  85. Multi objective optimization Swaption/Caplets joint Calibration
  86. Adjusting implied vol for skew

  87. Why/When local volatility is preferred over implied distribution sampling?
  88. What is relation between option adjusted duration and volatility

  89. Implied volatility from American options using python

  90. Continuous delta hedge formula
  91. Delta Hedging with fixed Implied Volatility to get rid of vega?

  92. Options Implied Earnings Announcement Move
  93. Implied Vol for caplet using Black Formula and HJM Framework

  94. How can the implied volatility be calculated?
  95. Seeking a model to Isolate a stock option's Implied Volatility related to a specific event

  96. Does the correlation between stocks in an index affect the implied volatility of the index?

  97. How can I compare 30 day implied volatility forecasts with GARCH forecasts?

  98. Detailing a proposition about option pricing model coherence

  99. Approximations for Quanto Options pricing
  100. Relationship between implied volatility of European and American put