TD ToS플랫폼의 Probability Analysis에 대한 confirmation. 여러분과 공유합니다.

09:20 : current iv of the stock? or option? oh.. so option's iv at each maturity?
09:21 : Is it annualized?
09:23 Kassidy_E: Yes, current implied volatility of underlying at this time. If you are on trade>> all products and you scroll all the way down to option statistics it will show you the current implied volatility for the underlying
09:24 Kassidy_E: Yes it is an annualized implied volatility
09:25 : gotcha. so annualized IV of the underlying at each option maturity. Sorry, just reconfirming.
09:30 Kassidy_E: Yes, IV is annualized and based on the current implied volatiliy it is displaying the different probabilities of different prices and the different expirations
09:31 : That makes sense, thanks! and this is based off of black-scholes? or another option pricing model?
09:32 : Sorry for many questions.
09:39 : and when you calculate iv of the underlying, which maturity of the option do you use? My understanding is that IV has to be reverse-calculated out of an option premium.
09:39 Kassidy_E: We use the Bjerksund-Stensland model because that is built for American style option where you can exercise anytime. Black-Scholes is standard for European style of expiration
09:51 : are you still on? sorry just making sure..
09:58 Kassidy_E: Yes, I am still here. I missed your other questions.
10:00 Kassidy_E: ThinkorSwim uses two monthly expirations with at least 8 days to expiration using the ATM options and OTM options with a bid; weights the average to provide you with the implied volatility you see. We do use the option formula and reverse calculate to get the IV like you mention.
10:03 : Thanks, these are not easy questions to answer so I really appreciate your help.
10:04 : When I looks at AMZN, the current IV is 37% whereas the nearest monthly is at ~25.8% for ATM.
10:05 : for Jul 16 maturity
10:16 Kassidy_E: From what I have, it is not calculated any differentlt weighted average of implied volatility. Since we have all the other variables such as the strike and stock price and times to expiration, but of course since there is less time it would be different than the current implied volatility
10:21 : hmm.. not sure if I am understanding it correctly. If the current iv is the weighted avg of the July 16 ATM and OTM options, are you including all publicly traded OTM options? or just a few? that will make a huge difference.  
10:23 Kassidy_E: I thought you were inquiring on the current IV compared to an IV on the expirtions. Could you clarify your question
10:23 : The reason I am asking is because.. I teach options and I want my students to understand exactly what that probability means.
10:25 : I wanted to know exactly how the current IV (which is being used on the probability tab) is calculated. Based on what you described, it is weighted avg of ATM and OTM options of the nearest monthly which is July 16 for AMZN as an example.
10:26 Kassidy_E: The option formula we use includes ATM options and OTM options with a bid to calculate a weighted average and provide you the implied volatility you see. It is the nearest two monthly expirations.
10:27 : Isee. Thanks. I think I missed the "two".
10:28 Kassidy_E: Happy to help!
10:28 : so include all ATM and OTM with at least a single bid
10:28 Kassidy_E: Yes, that is correct