Option Workshop blog #under-the-hood

Monday, 06 June 2016

Implied volatility calculation

Today we’re going to talk about how we calculate volatility in Option Workshop, and what our plans are to improve this part of the functionality.

Option Workshop is integrated with several data sources, which provides market data for options and their underlyings. They all are different, with a different API, different architecture, but they all have one thing in common – they don’t provide current implied volatility value for options. This means we have to figure it out on our side, inside the Option Workshop pricing mechanism.

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