Options Implied Volatility
Calculates the implied volatility from an option's market price using the Black-Scholes model.
Parameters
| Parameter | Type | Required | Description |
|---|---|---|---|
| CurrentStockPrice | number | Yes | Current underlying stock price |
| MarketOptionPrice | number | Yes | Current option market price |
| ExpiryDate | date | Yes | Option expiration date |
| OptionType | string | Yes | "Call" or "Put" |
| StrikePrice | number | Yes | Option strike price |
| RiskFreeRate | number | No | Risk-free rate (default 0.05) |
Notes
- Uses iterative solving to find IV
- Result is expressed as decimal (0.25 = 25%)
Examples
=opt_ImpliedVolatility(150, 5, DATE(2024,6,21), "Call", 155)=opt_ImpliedVolatility(150, 3, DATE(2024,6,21), "Put", 145)=opt_ImpliedVolatility(150, 5, DATE(2024,6,21), "Call", 155, 0.04)When to Use
- Options pricing analysis
- Volatility trading
- Comparing IVs across strikes
- Options strategy evaluation
When NOT to Use
| Scenario | Use Instead |
|---|---|
| Stock-level IV | ImpliedVolatility() |
| Delta calculation | opt_Delta() |
| Other Greeks | opt_Gamma(), opt_Theta(), etc. |
Common Issues & FAQ
Q: Why is IV different from historical volatility? A: IV is forward-looking (derived from option prices) while HV is backward-looking (calculated from price history).
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