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Strategies & Market Trends : Calls and Puts for Income -- Ignore unavailable to you. Want to Upgrade?


To: rkf who wrote (153)4/9/2007 5:29:27 PM
From: Ira Player  Respond to of 5891
 
Kent,

There is no closed form solution for IV.

The computational method used is to guess IV, calculate the value of the option using one of the models. If the calculated value is less than the actual value, increase IV. If it is more, decrease it. Iterate until they converge.

Many brokerages that handle options also provide IV and the greeks.

optionistics.com

Gives a few weeks plot of historical IV.

Ira