Instant Implied Volatility

One of the great features of the RiskAPI Add-In is the ability to quickly generate implied volatilities from standard option symbols. How quickly? As they say, a picture is worth a thousand words:

Here we took today's (February 16th) top 10 most active U.S. equity options by volume and generated implied volatilities based on their last closing market price. This particular method uses pre-set keywords via the Add-In's "Market Macro" mechanism. The symbols being used follow the OCC's standard option symbology coupled with a ".X" suffix, which identifies listed U.S. Equity options in the RiskAPI system.

The RiskAPI service is numerically solving for implied volatility for each option based on a configurable model for each option (black-scholes, tree-based, or closed-form approximation). Included is also a delta calculation for each option as well. Note that all calculations occur on the service-side, with Excel merely being used as the launch pad for requests.

The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.