iv.calc {optionstrat}

Implied Volatility Calculation

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)