A daily feed of actual call option trades are provided for you to apply different
filters based upon your desired call option characteristics to derive an appropriate
and auditable implied volatility estimate. It also allows you to select a period of
time (range of trading days) and specific maturity range to consider only those call
options granted within the specified parameters.
To calculate Implied Volatility:
1. Select a date range for call option trades.
a. Enter a Begin Date and End Date to select a date range for call option
trades. Click on the calendar icon to choose a date from the calendar.
b. Click the Update button: Populates the ‘maturity date of tradable call
options’ drop down list with the available call options based on the call
options begin and end dates entered.
2. Select the maturity date of tradable call options. Click on one of the
available call options. This list is populated based on the date range for call
option trades.
Note: To ensure compliance with the requirements pertaining to implied
volatility data dictated in ASC 718 and SAB 107, you may also apply the
following filters:
3. If desired, check the Apply filter for closeness to at-the-money
checkbox and enter the percentage of options to consider. This will then
consider options that are within a certain percentage of being at-the-money.
4. If desired, check the Apply filter for minimum volume of daily trades
checkbox and enter the minimum volume of daily trades. This will then
consider options that meet your defined volume of trading per day.
5. Click the Calculate button.
The implied volatility is calculated and
displayed to the right of the Calculate button.
To save the calculations:
- Click the Save to Selection button. The implied volatility calculation is
removed from the page and ‘moved’ to the Implied Volatility Parameters
section at the bottom of the page. Note: This information can also be seen
on the Your Selection page.
To remove saved calculations:
- Click the red Remove ‘X’. However, be aware that there is no confirmation
before it is removed.
To create the Audit Report:
- Click the Audit Report button. A comprehensive audit report displaying all
of the call option trades that went into the overall average calculation of
implied volatility. The report displays in a spreadsheet view (.csv format).
To create the Non-Converge Report:
- Click the Non-Converge Report button. The report displays details of the
tradable call options that are omitted from the implied volatility calculation.
The report displays in a spreadsheet view (.csv format).