Financial Toolbox

blkimpv

Black's implied volatility

Syntax

• Volatility = blkimpv(Price, Strike, Rate, Time, CallPrice, 
  MaxIterations, Tolerance)
  

Arguments

Price	Future spot price.
Strike	Future call option strike price.
Rate	Risk-free interest rate. Enter as a decimal fraction.
Time	Time to option expiration.
CallPrice	Future call option price.
MaxIterations	(Optional) Maximum number of iterations used in solving for Volatility. Default = 50.
Tolerance	(Optional) Tolerance (+/-) for convergence. Default = 1e-6.

Description

Volatility = blkimpv(Price, Strike, Rate, Time, CallPrice, MaxIterations, Tolerance) returns the implied volatility of an underlying asset using Black's model.

Rate and Time must be consistent, e.g., if Rate is an annualized rate, Time must be expressed in years.

Examples

Compute the implied volatility of a future with spot price of $104.125, call option strike price of $104.00, risk-free interest rate of 6.33% annually, time to expiration of 66 days, and call option price of $1.515625.

• Vol = blkimpv(104.125, 104, 0.0633, 66/365, 1.515625)
  
  Vol =
       0.0833
  

See Also

blkprice, blsimpv, blsprice

References

Chriss, Black-Scholes and Beyond: Option Pricing Models, Chapters 4 and 8.

Hull, Options, Futures, and Other Derivative Securities, 2nd edition, pages 259 - 264.

binprice

blkprice