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Python for Finance with Intro to Data Science
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An Intuition-Based Options Primer for FE
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Message: <blockquote data-quote="Gioby" data-source="post: 291924" data-attributes="member: 46506">Hi all,I’m new to this forum so first of all I wanna welcome everyone here.I am a commodity trader, mostly covering option books (vanilla and structured one) and I would ask more expert people how they can manage this product.So here after the example. Let’s suppose we have a vanilla option chain on a stock, first line that expiries in 20 days and second one in 50. The impl vols of those options are “easily” retrived from market price, so np at all.Now, for some reasons, suppose you want to do a structured deal with the counterparty A, trading an option on the same stock that expiries in 40 days. You have not a market price for this (since it’s not standard and quoted) but you need to calculate the “coherent” vol starting from the mkt impl vols.How would you do it? How can this vol be calculated?thanks in advance to anyone will help <img src="data:image/gif;base64,R0lGODlhAQABAIAAAAAAAP///yH5BAEAAAAALAAAAAABAAEAAAIBRAA7" class="smilie smilie--sprite smilie--sprite1" alt=":)" title="Smile    :)" loading="lazy" data-shortname=":)" /></blockquote>