I was referring to the dispersion trading example given to us in the downloaded section. In those for calculating implied volatility and delta as the calculation is computationally expensive we have imported the values from excel sheet named 'BankNifty_Preprocessed_Options_Data'. May I know how are these values calculated in excel? I have a complete new set of data of the last one month and hence I need to calculate IV and sigma by myself.
Hi Hozefa,
These values are calculated using Python and then put in a CSV file. The method for calculating the IV and the Greeks is in the notebooks prior to the dispersion trading section.
If you are asking how to calculate the values entirely in Excel, then you will have to formulate appropriate formulas in excel and do the calculations. But we strongly recommend you use Python to do the IV and Greeks calculation.
Hope this helps!
Hi Gaurav,
In the notebook prior to the dispersion trading We have a method in which we download data using nsepy. If you ask about the course in which greek parameters are explained. There is a notebook in which a method to calculate forward volatility is explained. This gives us implied volatility in two forms:
1.IV_near_month
2. IV_far_month
Can you suggest which option to consider in the dispersion trading example?
Hi Hozefa,
The issue was resolved over a call yesterday, but posting the answer for the benefit of other users.
The IV calculation for any option can be done by using the mibian BS function where you pass the futures price, strike price, and other relevant parameters to calculate the implied volatility.
Thanks!