mattl922 / implied-volatility Goto Github PK
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License: MIT License
Determine implied volatility of options based on their prices
License: MIT License
I'm happy to submit a PR if you'd like
optional parameter for number of decimal places to calculate price
Can you explain that parameter? In your expamle this value is .1
I calculate this value so ((new Date(date)).getTime() - (new Date).getTime()) / 86400000 / 365
but in this case I get wron volatility, for example equal to 1,64, more than 1 (100%)
If I calculate this value so ((new Date(date)).getTime() - (new Date).getTime()) / 86400000 / 365 * 100 then I get more correct value of volatility, but anyway this value does not equal to volatility from http://finance.yahoo.com/q/op?s=AAPL+Options
How to calculate the volatility?
For example I have next data:
Symbol: AAPL, Exp: 7/31/2015, Call, Strike: 105
I passed next parameters to getImpliedVolatility(expectedCost, s, k, t, r, callPut, estimate)
18.3 123.575 105 0.8860913146879756 0.05 "Calls"
And have got such result as 0.6890625 but in yahoo volatility is 71.48%
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