Week 6: Running into Trouble

Apr 01, 2019

Hello Blog Readers,

     This week I started taking my values. I have taken values of these different indicators:

Spot Price:

Strike Price:

Expiration Date:

Call OI:

Put OI:



Implied Volatility:

Historical Volatility (30 days):

I have pulled these values of Nasdaq.com, and the CBOE. I took me nearly 3 hours just to track these values. 9 ETFS * (6 Strike Prices + 6 Call OIs + 6 Put OIs + 6 Calls + 6 Puts) + 6 Spot Prices + 6 Historical Volatilities + 1 Expiration date =  283 values. I tracked these values for the option expired April 5th on March 28th (8 days gap). Now I must solve for implied volatility but I am having trouble with the spreadsheet right now. This is why I plan to meet with my advisor. The problem arises when you back track both put and call options at the same time to calculate implied volatility.I am not sure but I think the value still holds even if I only use one at a time. However, I need to double check this. I will update you guys next week on how I resolve this issue. Stay tuned.

One Reply to “Week 6: Running into Trouble”

  1. Rohit P. says:

    283 values is a great amount of data.

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