Implied Volatility

Examples

$691.60\; =\; 10,000*0.9(0.045*N(d\_1)\; -\; 0.04*N(d\_2))$,

$d\_1\; =\; \backslash frac\{log(\backslash frac\{0.045\}\{0.04\})\; +\; \backslash sigma^2\}\{\backslash sigma\backslash sqrt\; 2\}$,

$d\_2\; =\; d\_1\; -\; \backslash sigma\backslash sqrt\; 2$,

$\backslash sigma$ (pronounced "sigma") is the implied volatility of the forward rate and $N(.)$ is the standard cumulative Normal distribution function.

Observations

Expanded

Chicago Board Options Exchange Volatility Index

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