iv.calc: Implied Volatility Calculation

In optionstrat: Utilizes the Black-Scholes Option Pricing Model to Perform Strategic Option Analysis and Plot Option Strategies

Description

Computes the implied volatility of an option, either a call or put, given the option premium and key parameters

Usage

iv.calc(type, price, s, x, t, r, d = 0)

Arguments

type	String argument, either "call" or "put"
price	Current price of the option
s	Spot price of the underlying asset
x	Strike Price of the underlying asset
t	Time to expiration in years
r	Annual continuously compounded risk-free rate
d	Annual continuously compounded dividend yield

Value

Returns a single option's implied volatility

Examples

iv.calc(type = "call", price = 2.93, s = 100, x = 100, t = (45/365), r = 0.02, d = 0)

Example output

[1] 0.201

optionstrat documentation built on Dec. 4, 2019, 1:08 a.m.