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shoshanazemboodo-com Shoshana Zohar|   Apr 21, 2021

Implied Volatility Plotting with Incomplete Options Data?

Hi. I’m interested in building an implied volatility surface term structure for a medium-sized company. However, I only have options data that expires in five and six months. What do I need to create an IV plot?

I should note I do have the ability to gather dividend and interest rate data. I have heard that it’s better, in this case, to calculate initial deltas with this information, rather than use standard deviations, but I don’t hear that advice repeated everywhere and I’m not experienced with deltas.

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