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Implied volatility

In financial mathematics, the implied volatility (IV) of an option contract is that value of the volatility of the underlying instrument which, when input in an option pricing model (usually Black–Scholes), will return a theoretical value equal to the price of the option. A non-option financial instrument that has embedded optionality, such as an…

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Solving the inverse pricing model function

Root findingNewton's methodBrent's methodThe GreeksBinomial model
8 related topics

Motivation

Monotonically increasingInverse function theoremAsymptotic expansionEuropean call optionRisk-free interest rate
5 related topics

Volatility instruments

CBOEVIXS&P 500 IndexNasdaqIVX
5 related topics

Implied volatility parametrisation

Big dataData scienceSABRSVI
4 related topics

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Overview

Motivation

Solving the inverse pricing model function

Implied volatility parametrisation

Implied volatility as measure of relative value

Non-constant implied volatility

Volatility instruments

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Map overview Semantic statistics

Implied volatility

Nodes43
Edges42
Triples73
Avg. degree1.95
Density0.046512
Components1

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Implied volatility

Top relations

related to Further reading · 24
Implied volatility → Asymptotics Expansions, Banking, Beckers, Derivatives, Equivalence, Finance, Financial Analysts Journal, Implied, Implied Lognormal Volatility, Journal, Lognormal Implied Volatility, Model Free Approach, Normal, Note, Option Premia, PDF, Robert, S2CID, SSRN, Standard
related to Volatility instruments · 13
Implied volatility → CBOE Volatility Index, For, Implied Volatility Index, Index, IVX, Nasdaq, QQQ, QQV, There, US, VIX, Volatility, VXN
related to As a price · 9
Implied volatility → Another, However, Implied, In, It, Prices, Seen, Statistical, Thus
related to Example · 9
Implied volatility → Black, European, Even, Scholes, The, To, Using, XYZ, XYZ Corp
related to External links · 5
Implied volatility → Archived, Excel, Implied, Serdar SENVisual, Wayback MachineCalculate Beta
related to Implied volatility as measure of relative value · 5
Implied volatility → As, Brian Byrne, If, Implied, The
related to Implied volatility parametrisation · 5
Implied volatility → IVP, SABR, SVI, The, With

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Important terminology

volatility implied price option model value underlying pricing also prices used function displaystyle volatilities theoretical future measure however based stock

Entity relationships Subject–Predicate–Object triples

SubjectPredicateObjectConfidenceSrc
price level or timeinstance ofThis can be viewed as evidence that an underlying's volatility is not constant but instead depends on factors0.80text
or it can be viewed as evidence that the underlying's price changes do not follow the distribution that is assumed in the model under considerationinstance ofThis can be viewed as evidence that an underlying's volatility is not constant but instead depends on factors0.80text
the VXN indexinstance ofThere are also other commonly referenced volatility indices0.80text
Implied volatilityrelated to As a priceAnother0.60section
Implied volatilityrelated to As a priceIn0.60section
Implied volatilityrelated to As a pricePrices0.60section
Implied volatilityrelated to As a priceStatistical0.60section
Implied volatilityrelated to As a priceIt0.60section
Implied volatilityrelated to As a priceImplied0.60section
Implied volatilityrelated to As a priceSeen0.60section
Implied volatilityrelated to As a priceHowever0.60section
Implied volatilityrelated to As a priceThus0.60section

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