Volatility Smile
The volatility smile is a graphical representation that emerges when plotting the implied volatility against the strike prices of options sharing the same underlying asset and expiration date. As the…
Volatility Smirk
A volatility smirk, a variation of the more common volatility smile, is depicted by plotting the strike price and implied volatility of options for a specific underlying asset, such as…
Exploring Implied Volatility in Depth
Introduction & Definition Implied Volatility (IV) serves as a crucial indicator in the realm of options trading, encapsulating the market's perception of potential future fluctuations in an asset's price. This…
Exploring Greeks – Delta (Δ) with Python
Delta vs Stock Price import numpy as np import pandas as pd import matplotlib.pyplot as plt from scipy.stats import norm # Black-Scholes model for calculating option price and delta def…
Implied Volatility: Newton-Raphson and Bisection Method
Newton-Raphson Method import numpy as np import matplotlib.pyplot as plt from scipy.stats import norm import math def bsm_option_price(S, K, T, r, sigma, option_type='call'): d1 = (math.log(S / K) + (r…