Support Board
Date/Time: Fri, 31 Jan 2025 03:06:26 +0000
Post From: Plotting constant delta options for futures
| [2019-04-02 19:54:13] |
| David - Posts: 2 |
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I'm trying to chart the options on Futures contracts. I'm looking at plotting the Implied Volatility of a constant delta options. For example the 1 month 25 Delta for the A6, implied volatility. (CME aud/usd futures contract) Further to this I would need to plot the spread between the Call IV and the Put IV of the same option(s) (1 month 25 Delta Two year Note) In addition I would like to then plot the z-score of this spread. Thanks David |