The Volatility Smile

Implied volatility is arguably the most important metrics to calculate and monitor in every options market. The implied volatility when analyzed over a certain number of strike prices becomes a so-called smile. However, the shape of volatility can vary and any change in the shape of the volatility curve signals that market participants are anticipating […]

Extracting Implied Volatility: Newton-Raphson, Secant and Bisection Approaches

Εxtracting implied volatility from options premium is something that traders, market makers and analysts have to do. Implied volatility arguably the most important number to compute and monitor in the options market so adopting a good, reliable, robust model is absolutely necessary. A wrong implied volatility number would lead to mispricing, inaccurate trades and a […]