THIS IS OLD & BUGGY. SORRY. PLEASE SEE THE OTHER EXAMPLE IN THE NEXT POSTING. Price of underlying stock: $100 Put DTE=6 (ie. t = 6/365 = 0.01643835616438356164), Strike=$225, Premium=$10 RiskfreeRate (aka EarningsYield) and DividendRate (aka DividendYield) are 0. How much is the IV of this Put option? Is anybody on this planet able to calculate this?
Your example makes no sense. If the stock price is 100 and the strike price is 225, the options is 125 ITM, how can the put be $10? Here you go - https://www.optionseducation.org/toolsoptionquotes/optionscalculator
Robert, the above one was not real (I just wanted simplify things by basing it to 100, but it seems I made an error :-( Will check again. But following data is real. What about calculating IV for this one? : Price of underlying stock: $4.40 Put DTE=6 (ie. t = 6/365 = 0.01643835616438356164), Strike=$100, Premium=$95.30 RiskfreeRate (aka EarningsYield) and DividendRate (aka DividendYield) are 0. How much is the IV of this Put option? Below, the screnshots where I got the above numbers:
Please tell me you know this makes no sense either. You can't have a price of $95.30 with a put Strike of $67.50. For your next example, any DTIM put with little time left is trading at parity unless there is a dividend, and the IV is not relevant with no time premium. It is a random value that the formula was not meant to calculate.
Robert, as you can see: people have put Bid and Ask for these amounts, ie. Bid=95.20, Ask=95.40. These orders are the top positions in the orderbook. Are these people crazy?
That is the 100 strike, not the 67.50. What is the purpose of looking at at Strike above those that are 100D? these is no value to this.
Yes, strike 100 is meant (67.50 was again just a typo which I quickly fixed, but you still saw it ) Sorry, your last question I don't get/understand. Elaborote pls.
I see you changed the Strike to 100. It has no Implied vol. The call has no premium and if the stock were to move in a normal distribution, it still would not.
It has no IV b/c YahooFinance could not calculate it. I tried it myself and couldn't calc it as well. :-( Either the precision of the used datatype isn't enough (tried w/o success both double and long double types, ie. 8 byte big floats and 16 byte big floats), or maybe a bug in BSM? Aeh, really? Just curious: how do you know?
This is about as far as I'm willing to go in a public forum. The Nov 7.5 calls were at 0.05. So there all the strikes above that. I would not go more than 3 strikes that are basically worthless and do any meaningful calculation. Because of put/call parity, those puts are worth parity. The IV of an option with no premium has no analytical value. The call worth $0 and the puts at parity are a waste of time to spend time on.