Where does the Implied Volatility (IV) come from? How do I find out what value to use?
There are two ways to determine the IV. One is to enter all the details except the IV of an option leg in the program, working from left to right. Be sure you have the entry date set to today, and the expiration date set to the expiration you are interested in. As soon as you enter the current option price, the program will show you the current IV. Option prices are available through any broker that offers option trading, and many Internet sources. Use a midmarket price (midway between the bid and ask). The second way is to find out and enter the IV directly. Most brokers have this information, although it may be a little hidden. For instance, one major broker shows an option chain for a particular stock. By right-clicking on the option you are interested in, you get a menu that will show the “hypothetical price” of the option. One of the inputs to the hypothetical price is the IV, and you can use that value with our program. The Implied Volatility can be different for different strike
