calculation of an option chain

This is a discussion on calculation of an option chain within the Futures & Options forums, part of the Markets category; Have all the data needed to calculate the price at a strike; i.e. IV etc. While the IV behaves linearly ...

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Old Dec 22, 2017, 10:27pm   #1
 
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Joined Jan 2007
calculation of an option chain

Have all the data needed to calculate the price at a strike; i.e. IV etc. While the IV behaves linearly with strikes for OTM puts near the ATM it is not constant. I would like to calculate the chain for these strikes.
Note, EOD data is of no help. IV is not constant intraday. The slope of the EOD IV vs strike line is not the same as the intraday line.
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