How to calculate implied volatility for nifty options?
- Different countries have a different index like the Deutscher Aktien index or DAX - dow jones or nifty - Sensex - Kospi-nikkei etc.
- Implied volatility we use various parameters like the underlying price of an index
- Starting date of option buying and selling - historical volatility of the index like nifty - DAX - Dow jones-
- Risk-free interest rates as per countries,
- The dividend yield as per countries
- Download the excel sheet from here
- Set the strike price of the option as per your index
- After entering these values in the excel sheet you will find the theoretical prices of option
- Enter the actual values available for trading at the different strike price
- Check the implied volatility
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2 Comments
Implied volatility calculation excel is not working.
ReplyDeleteImplied volatility is working you need to fill the data as per blog.
DeleteThank you for your valuable comment