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  • Implied Volatility Spreadsheet (Zero Dividend Model) : Data Inputs

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    This document describes an implied volatility spreadsheet for calculating the implied volatility of call options using the Black-Scholes model. It lists input data like the spot price, strike price, risk-free interest rate, and time to maturity. It then shows the observed option price, theoretical Black-Scholes price, and the difference between the two. The solver is used to find the volatility input that minimizes this difference. Additional resources for obtaining option and dividend data are also provided.

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    Implied

    Original Title

    Implied Volatility

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    This document describes an implied volatility spreadsheet for calculating the implied volatility of call options using the Black-Scholes model. It lists input data like the spot price, strike price, risk-free interest rate, and time to maturity. It then shows the observed option price, theoretical Black-Scholes price, and the difference between the two. The solver is used to find the volatility input that minimizes this difference. Additional resources for obtaining option and dividend data are also provided.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xls, pdf, or txt
    38 views3 pages

    Implied Volatility Spreadsheet (Zero Dividend Model) : Data Inputs

    Uploaded by

    Ferreira
    This document describes an implied volatility spreadsheet for calculating the implied volatility of call options using the Black-Scholes model. It lists input data like the spot price, strike price, risk-free interest rate, and time to maturity. It then shows the observed option price, theoretical Black-Scholes price, and the difference between the two. The solver is used to find the volatility input that minimizes this difference. Additional resources for obtaining option and dividend data are also provided.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xls, pdf, or txt
    of 3

    Implied Volatility Spreadsheet (Zero Dividend Model)

    Data Inputs
    Spot Price S Expiry Date
    Strike Price K Days
    Risk-Free Interest Rate r
    Time to Maturity T -119.12877

    Observed Option Price Market Call Premium

    Black-Scholes Theoretical
    B-S Call Premium #DIV/0!
    Option Price

    Solver Input and Output

    Difference between real and theoretical prices (squared) #DIV/0!

    Volatility (sigma) 0.1

    Auxillary inputs to calculate B-S premia

    d1 d2 N -"dash"
    (d1)
    #DIV/0! Err:502 #DIV/0!
    d Model)

    Resources
    Options Data http://www.cboe.com/ or http://finance.yahoo.com
    -43482.00
    Risk-Free Rate Short-term treasury yield rates
    http://www.treasury.gov/resource-center/data-chart-center/interest-rates/Page
    can be used as a proxy for a
    risk-free rate

    Dividends http://finance.yahoo.com/
    or company websites (for
    equities)

    *This spreadsheet can be used to find implied volatility


    for American and European Call Options on underlying
    assets that pay no dividend (yield or absolute) within
    the lifetime of the option.
    http://finance.yahoo.com

    Short-term treasury yield rates


    can be used as a proxy for a
    risk-free rate

    or company websites (for


    equities)

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