Course Name: Options Trading Strategies In Python: Intermediate, Section No: 7, Unit No: 5, Unit type: Notebook
Why do we use futures price (nifty_nov_fut) instead of stock price to calculate implied volatility in the exercise? Could you elaborate a little more on this? It would help me learn better if I understand what is going on here. Thanks
nov_call_iv = mibian.BS(
[
nifty_nov_fut,
strike_price,
interest_rate,
days_to_expiry_nov_call
],
callPrice=nov_call_price
).impliedVolatility