Implied Volatility in 3-D (Article)

By Frederic Palmliden | CMT, Senior Quantitative Analyst, TradeStation Labs

Summary

An implied volatility surface is a three-dimensional plot that reveals implied volatility data for a number of different options series for a particular underlying security. This paper introduces a “near real-time” version of such a surface, which dramatically facilitates spotting timely trading opportunities. This valuable trading tool is not just intended for options traders, but also for any trader who is attempting to identify market expectations, temporary anomalies, and asset valuations. A custom indicator and workspace that utilize new functionality only available in TradeStation 9.0 (EasyLanguage® Objects with Microsoft® Excel® integration) are included with this report to help you explore this trading concept.

Read the full paper and download tools