calculation of an option chain

jalea148

Newbie
Messages
4
Likes
0
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.
 
Top