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Implied Volatility of the S&P Today

Suppose you're an investor and are curious what the market thinks the implied volatility of the S&P 500 is today. You know a few things:

  • You can assume that every other investor is using Black-Scholes-Merton formula for pricing.
  • You look a common ETF of the S&P 500, the SPY spider.
  • Today it's priced at $216.
  • A European call option has a strike price of $210.
  • To expire, there are 30 days left from today.
  • The risk-free interest rate is 1.8%.
  • The market is pricing this European call option at $7.93.

What is the implied volatility?
(All answers are truncated.)

Note: Using Excel's "Goal Seek" may be helpful.


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