numericalalgorithmsgroup / implied-vol

Implied Volatility Using Python's Pandas Package

This code is to accompany the corresponding Numerical Algorithms Group (NAG) blog post.

https://www.nag.com/content/implied-volatility-using-pythons-pandas-library (which has been updated in 2021 to use the NAG Library for Python)

This script uses options data downloaded from the CBOE in csv format. Be sure to download data during CBOE trading hours to ensure the graphs are not null. To run type

$ python implied_volatility.py QuoteData.dat

This script has been tested with the following packages:

• Python 3.8
• numpy 1.16.4
• pandas 0.24.2
• matplotlib 3.1.0
• NAG Library for Python, Mark 27.1

A NAG Library for Python license is required to run the script. To obtain a free 30-day trial license, email [e-mail]