When volcanoes erupt.

Financial Adviser;  August 16, 2007 ;     700+ words ......difference between implied volatility and actual...the standard option pricing model are the...value of an option over that asset...Since some option prices are...markets, the option pricing model can be...This is called implied volatility. There ...

An Introduction to Financial Option Valuation: Mathematics, Stochastics...

Journal of the American Statistical Association;  September 1, 2005 ;     700+ words ......mathematical finance in general, and option pricing in particular, has grown enormously...asset price movements and models) * Option pricing (Black-Scholes partial differential...hedging, the Greeks, risk neutrality, implied volatility) * Numerical methods (nonlinear ...

The Volatility Structure Implied by Options on the SPI Futures Contract.

Australian Journal of Management;  December 1, 1999 ;     700+ words ......the SFE implies that option pricing models, developed for...inappropriate. The standard option pricing model used to price options...parameters is called the implied volatility and is obtained by backing...procedure to solve for an implied volatility assumes that market ...

The 'other' live cattle market: implied volatility. (includes related...

Futures (Cedar Falls, Iowa);  August 1, 1996 ;     700+ words ......underlying market) in terms of implied volatility. Rising volatility (above) shows the at-the-money implied volatility for August cattle options...compared to the futures bar chart. Implied volatility peaked at 28% April 26 when...

Visual Basic for Applications

Daily News;  April 27, 2007 ;     524 words ...Book Review Option Pricing Models & Volatility Using Excel-V...a guide for the use of advanced option pricing models and volatility in Excel...Newton-Raphson method of finding an implied volatility. One of the causes of my fondness...method is quick to converge to the implied ...

Software reviews. (evaluation)

Futures (Cedar Falls, Iowa);  August 1, 1989 ;     700+ words ......are theoretical value, implied volatility, delta, gamma, theta...are comparable to most option pricing software. Options 1...theoretical value, two implied volatility calculations and eight...sensitivities. For any of the option pricing functions, one of the...futures ...

Expressed markets, implied filters. (implied volatility in the options...

Futures (Cedar Falls, Iowa);  November 1, 1993 ;     700+ words ......historical volatility looks backward, implied volatility from the options market can often...traders are at least acquainted with implied volatility. This measure, the volatility implied...traders are not acquainted with how implied volatility -- when used properly -- can ...

Capturing the volatility smile of options on high-tech stocks--a combined...

Journal of Economics and Finance;  October 1, 2001 ;     700+ words ......assumption of constant implied volatility. In trading practice, option traders alter the implied volatility for far out-of-the-money...M. Rubinstein. 1979. "Option Pricing: A Simplified Approach...Merton, R. C. 1976. "Option Pricing When Underlying Stock...Theory of ...

How an options trader uses market volatility.

Futures (Cedar Falls, Iowa);  April 1, 1992 ;     700+ words ......price changes over a specified time. Option pricing models imply these changes are distributed...constant because the market underlying an option may experience low or high volatility. Changes can have a dramatic effect on option prices. Therefore, good volatility...required to evaluate options, ...

The predictive power of options.

Futures (Cedar Falls, Iowa);  April 15, 1996 ;     700+ words ......behavior of the options market - implied volatility patterns and put-call ratios - can...contrary indicators. Option prices or implied volatility When options are too cheap, too many...of options also are referred to as implied volatility, so the VIX in essence measures the...

Taming wild markets with long straddles. (Trading Techniques).

Futures (Cedar Falls, Iowa);  July 1, 2002 ;     700+ words ......historical volatility. Model behavior Implied volatility is calculated differently using several...option. A number of factors can drive implied volatility to extremes. For example, any type...fluctuate much from one day to the next, implied volatility can be quite low. Most options ...

Guidelines for option trading success: succeeding at options trading has a...

Futures (Cedar Falls, Iowa);  September 15, 2003 ;     700+ words ......benefit of an option-pricing model is foolhardy...option's delta, its implied volatility and perhaps...don't use an option-pricing model, your...another 2%. Option traders, however...the past, but implied volatility is the part...

Playing volatility seasonality. (futures trading technique)

Futures (Cedar Falls, Iowa);  June 1, 1990 ;     509 words ......players are aware of the key role of implied volatility in trading. Oddly, little has been...volatility can be translated into the implied volatility of the options to some degree. An...1990 soybean futures settled with an implied volatility of about 13 while the September 1990...

Volatility movements the key to profit.

Australasian Business Intelligence;  August 19, 2002 ;     190 words ......traders. There is a high level of implied volatility in Australia at present. Volatility...assets on which derivatives are based. Implied volatility refers to the expected volatility...of AOT Stockbroking, notes that implied volatility has a more short-term focus. The...

Know thy volatility. (includes related article)

Futures (Cedar Falls, Iowa);  April 15, 1996 ;     700+ words ......volatility, above). Implied volatility, as its name suggests...volatility can be fed into an option pricing model to determine theoretical...used to converge on the implied volatility through a series of...options traders defer to implied volatility over historical ...