Option Implied Volatility using Newton's Method in Python

[@dylan.masters]

This is great. Really informational and interesting. Thank you and keep doing what you're doing!

[@bryanleekw123]

great video! very clear to elobrate IV!

[@saadislane3087]

Thank you for this ! very clear :)

[@MauriceWilliams]

Coding is super awesome sauce!

[@armandcharlesngabirano3795]

Excellent content sir however I am sorry to bother you with this question: can we proceed the same way if the risk free rate is negative? We will have to change parameters like adding a shift parameter?

[@hochspannunglebensgefahr8014]

excellent video, but i have a question, from where do we get the market price of the option ? like for example i want to know the price of the call option on USD/EUR for a spot S, strike K and time T

[@Santiagobgb18O]

hi ! nice work. ¿this could be used for example if the price of an options has high implied volatility, and we want to take advantage of it while the price is still stabilizing? or what will be a good use of it in real life option exchange? because they actual use B&S to get option prices in the platform of trading im using. =) help

[@mrjaekwan73]

sorry to bother. just a simple question. wouldn't abs(vol_old-vol_new) be abs(P-MP) compare to the tolerence? some other text saying otherwise. want to know the difference

[@mrjaekwan73]

oh never mind that. you did put that condition in the second part!

[@chiemelienwanisobi9536]

can you provide a tutorial on calculating sticky strike vol vs sticky delta vol?

[@nilkanthwable2491]

how to handle the cases when the itm option is priced below its intrinsic value? Also for some itm option contracts, I get Iv as NaN even though it has a non zero extrinsic value. Could you please guide.

[@KonstantinUtkin-qc9ro]

Maybe I am doing something wrong, while if I use it for, let's say Deribit BTC options, this method would hardly reach good result in reasonable iterations number if initial IV guess is wrong. For example, if IV provided by Deribit feed is 1.16 and I put 1.00 as initial guess, it would use over 20k iterations and still not able to reach neither 0.0001 price precision nor volatility precision. If I calculate initial IV guess using another method (like linear approximation), it's making rather small correction for IV, like from 1.16613995 to 1.16614023.

[@sc2020GR]

i have a beginner question, does imp vol between different maturity options shows a linear relation?

[@nguyenduyta7136]

Hi, Thank for your cool clip. Does it make sense for stock prices?

[@balrajs-j8f]

This code not working for me. i have this error... RuntimeWarning: divide by zero encountered in scalar divide vol_new = vol_old - C/Cprime C:\Users\E921\AppData\Local\Programs\Python\Python311\Lib\site-packages\py_vollib ef_python\black_scholes\__init__.py:87: RuntimeWarning: invalid value encountered in scalar divide return numerator / denominator

[@marioemanuele9512]

Me too

[@mrjaekwan73]

why isn't sigma not in a fuction for vega?

[@QuantPy]

Hey mate, sorry will have to watch the video until the end, where I amend the functions. Cheers 👍

[@aabhashshrestha4727]

Hey I need to use Newton Raphson method in order to solve two non-linear equations related to black-scholes model. Will this formula work?

[@QuantPy]

If you’re trying to find the implied volatility, yes.

[@aabhashshrestha4727]

@@QuantPy Yes, indeed. Thank you for this code. You are a lifesaver! You just helped me tons in my academic research.

[@ambujyadav9213]

hii I am getting - nan RuntimeWarning: divide by zero encountered in double_scalars vol_new = vol_old - C/Cprime can u please give me suggestions to resolve this error...

[@QuantPy]

You’ll need to error handle and look why Cprime is 0. Try print out Cprime values through loop

[@investidorcalejado8344]

what version of python are you using? with python 3.10 im not being able to download some of the modules!

[@QuantPy]

stackoverflow.com/questions/45656916/how-to-import-installed-python-module Does pip install py_vollib not work?

[@lucaschan4955]

py_vollib package only supports up to python 3.6. I failed to install on my 3.8 as well.

[@zhenggoh]

Hello may I know how to obtain your graph?

[@ALal-pu5xj]

interested as well