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Implied Surface

The document contains technical parameters and settings for analyzing and smoothing implied volatility surfaces, including the risk free rate, filtering tolerances, number of surface maturity and strike steps, and the online stock symbol to use for getting live data. It then shows the original implied volatility surface, followed by the smoothed implied volatility surface with adjusted values.

Uploaded by

rdixit2
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
28 views

Implied Surface

The document contains technical parameters and settings for analyzing and smoothing implied volatility surfaces, including the risk free rate, filtering tolerances, number of surface maturity and strike steps, and the online stock symbol to use for getting live data. It then shows the original implied volatility surface, followed by the smoothed implied volatility surface with adjusted values.

Uploaded by

rdixit2
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
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Risk Free rate

Filtering tolerance
Grid tolerance
Surface Maturity Steps
Surface Strike Steps
Online Symbol

Start

0.04
0.01
0.001
50
80
MSFT

<=Reduce this to make ImpliedVolGraph smoother


<=Reduce this to make SmoothVolGraph smoother
<=Extrapolation points for SmoothVolGraph
<=Extrapolation points for SmoothVolGraph
<= To use live data from Yahoo Finance enter symbol value here
To use Quotetable.dat leave this blank and place Quotetable.dat in current directo

Read file

Filter Implie

bol value here


Quotetable.dat in current directory

Clear All

Extrapolate

Read file

Get Online

Filter Implied volatilties

Extrapolate surface
Smoothen

Original Implied Volatility Surface


10
9
8
7
6
Row 2
Row 3
Row 4
Row 5
Row 6

5
Implied Volatility

4
3
2
1
0

Row 6
Row 5
Row 4
Row 3
Row 2
Strike

Maturity

Smoothed Implied Volatility Surface

10
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row

9
8
7
6
5
Im plie d Volaitity

4
3
2
1

51
Row 48
50
49
Row
47
46
Row 43
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44
Row
42
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Row 38
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Row 35
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Row 32
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Row
31
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Row 27
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Row 24
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25
Row 21
23
22
Row
20
19
Row 16
18
17
Row 13
15
14
Row
12
11
Row 8910
Row 567
Row
Row 234

Strike

M aturity

2
4
6
8
10
12
14
16
18
20
22
24
26
28
30
32
34
36
38
40
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50

Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row
Row

3
5
7
9
11
13
15
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21
23
25
27
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31
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35
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