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板凳
樓主 |
發表於 2017-10-2 23:41:50
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Contrary to what most believe, IV is an input in the pricing model not an output.
Option market makers use it as a variable input, while all the other inputs are more or less fixed, meaning he can't adjust it... it's a given. So they use their IV (-curve) to get a market accordingly price for the options. IV = input; Price = output.
Retail sees it reversed. They see the price as a given an the IV as an output... but technically it's the other way around.
Remember, options are based on probabilities tied to the underlying price. Those probabilities are based on the (expected) volatility of the underlying. |
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發表於 2017-10-2 23:16:43
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