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Main : Excel : 


Category: Excel View Full Details
Download Now!Implied Volatility Surface
Submitter: vanna Date: 2007/2/27
Description:
Generates an implied volatity surface using Online query to Yahoo Finance or QuotesData.dat file downloaded from CBOE.com

Enter a stock symbol in the Main Menu Page if an online connection is available. For an offline work, leave the symbol blank and place Quotedata.dat downloaded from CBOE

It has been tested on F quote available here
Implied volatility surface is processed using the following steps:
1. Form quotes summary information of call and put price bid and ask in "AvgSummary" worksheet
2. Implied vol bid ask limits are placed in ImpliedVols sheet
3. Implied vols are filtered using objective function of minimizing the vol gradients on the strike/maturity axes. Constraint is the bid-ask limits
4. Implied vols are then extrapolated on the non-quoted coordinates, using objective of minimizing gradient and vol > 0 for constraint
5. A Bicubic spline is used to smoothen the surface


Note :
1.Yahoo finance does not display quotes in the night after 12 and online function will not work during the time.
2.Excel file will not work properly if launched from browser. It has to be saved to hard disk before running

Got a question or problem with this link? Just enter your message and click on submit. No registration is required.

Note: A copy of this message will also be emailed to the submitter of this link
Downloaded 10340 times  10340  File Size 0 bytes  Supported Platforms Excel VBA  Home Page http://quantcode.com/
Rating: 7.00 (2 votes)
Rate this File | Modify | Delete | Report Broken File | Tell a Friend | Comments (98)

Poster Thread
Anonymous
Posted: 2006/6/19 2:54  Updated: 2006/6/19 2:54
 Re: Implied Volatility Surface
TODO : Need to replace implementation of implied volatility calculation with american option instead of european option

Poster Thread
ryanwtyler
Posted: 2006/11/1 8:41  Updated: 2006/11/1 8:41
Just popping in
Joined: 2006/10/31
From:
Posts: 2
 Re: Implied Volatility Surface
i get a "subscript out of range" on this line:

ShowMatrix "ImpliedVols", 1, 1, surfObj.GetFilteredResult

Poster Thread
malbury
Posted: 2007/2/27 0:34  Updated: 2007/2/27 0:34
Just popping in
Joined: 2006/5/28
From:
Posts: 13
 Re: Implied Volatility Surface
subscript out of range error happened because of spot price not found - replaced file with fix by adding more formatting checks.

Poster Thread
Anonymous
Posted: 2007/3/27 3:12  Updated: 2007/3/27 3:12
 Re: Implied Volatility Surface
The following data set for ^GSPC options from yahoo website as well CBOE.com throws exception. The simplex method goes into a infinite loop it seems !!

Poster Thread
pankajk
Posted: 2009/6/12 15:41  Updated: 2009/6/12 15:41
Just popping in
Joined: 2009/6/12
From:
Posts: 1
 Re: Implied Volatility Surface
I have a historical dump for S&P CNX Nifty Options from nseindia.com and would like to know how to use this excel workbook to plot the IV surface for my data.

Please help

Poster Thread
Davis
Posted: 2009/8/31 14:49  Updated: 2009/8/31 14:49
Just popping in
Joined: 2009/8/31
From:
Posts: 1
 Re: Implied Volatility Surface
Hi Vanna,

I am trying to get an IV surface plot for the S&P index options and I am not getting any results. It seems that the Abbreviation I am using is not correct.

Yahoo finance will let me to use ^SPX. Do you have a location for a help file for your program?

Or could you tell me what Abbreviation will work for the S&P index options.

Thanks for your help

I have tried:

SPX
^SPX
$SPX

Poster Thread
hblatz
Posted: 2009/9/7 8:15  Updated: 2009/9/7 8:15
Just popping in
Joined: 2009/9/7
From:
Posts: 2
 Re: Implied Volatility Surface
try ^XSP. It's the SPX minis.

Poster Thread
hblatz
Posted: 2009/9/7 7:42  Updated: 2009/9/7 7:42
Just popping in
Joined: 2009/9/7
From:
Posts: 2
 Re: Implied Volatility Surface
Nice.
Have you considered extracting the term structures for the risk free rate and implied dividends?

You should be able to do this too.

Poster Thread
Anonymous
Posted: 2011/5/22 19:50  Updated: 2011/5/22 19:50
 Implied Volatility Surface
I need to calculate the implied volatility for given data by using Black-Scholes model

Poster Thread
Anonymous
Posted: 2011/8/23 7:11  Updated: 2011/8/28 13:27
 Implied Volatility Surface
Would this file still run today without bugs?
Looks very intersting but keep getting different errors for the past 3 days I tried to run it (online query).

Is it just me?

Ta

Poster Thread
Anonymous
Posted: 2011/8/23 7:12  Updated: 2011/8/28 13:27
 Implied Volatility Surface
Does this still work or do you have an updated version?


Many thanks

Poster Thread
Anonymous
Posted: 2012/4/5 15:42  Updated: 2012/5/6 19:21
 Implied Volatility Surface
PLEASE UPDATE! this is awesome!

Poster Thread
Anonymous
Posted: 2012/9/17 6:48  Updated: 2012/11/18 13:42
 Implied Volatility Surface
SIR can i get the volatility surface of the Indian nse indes ^nsei

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