Implied Volatility

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Implied volatility - In financial mathematics, the implied volatility of a financial instrument is the volatility implied by the market price of a derivative based on a theoretical pricing model. For instruments with log-normal prices, the Black-Scholes formula or Black-76 model is used.

Volatility Smile - Volatility Smile refers to the long-observed pattern in which at-the-money options tend to have lower implied volatilities than other options. The pattern displays different characteristics for different markets, and is an area of significant academic research (i.

VIX - The Chicago Board Options Exchange Volatility Index (VIX) is a popular measure of the implied volatility of stock index options. Referred to by some as the fear index, it represents one measure of the market's expectation of volatility over the next 30 day period.

VDAX - The VDAX-NEW Index expresses the variation margin – the implied volatility – of the DAX anticipated on the derivatives market. The VDAX indicates in percentage points the volatility to be expected in the next 30 days for the DAX.


Suggested Web Sites

Trader Soft - Stock software for calculation of option price, implied volatility, and option greeks.

ESOmanager - Valuation model for employee stock options. Provides online help and historic/implied volatility calculators.

Ivolatility.com - Historical and implied volatility for options and equity derivatives. Tools for analysis and trading. Membership required for certain features.

Source: BazSites.net

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Financial Market Mathematics - ... United Arab Emirates. Founded in March 26, 2000. Implied volatility - In financial mathematics, the implied volatility of a financial instrument is the ...

Financial Market Mathematics - ... United Arab Emirates. Founded in March 26, 2000. Implied volatility - In financial mathematics, the implied volatility of a financial instrument is the ...

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