getOptionChain function in quantmod
On Mon, Apr 4, 2016 at 6:09 AM, Benno Longobardolino <wotuzu17 at gmail.com> wrote:
Hi UseRs,
I've got a question about the getOptionChain function in the quantmod
package.
when I run this code I receive the front-month expiry option chain of Apple
from finance.yahoo.com:
library(quantmod)
getOptionChain("AAPL")
However, when I look this up on the website of finance.yahoo.com (
http://finance.yahoo.com/q/op?s=AAPL+Options) then I see an additional
column => "Implied Volatility".
My question are:
1) Why is this column omitted in the output of getOptionChain?
Because I couldn't find any documentation about how it is calculated.
2) Is yahoo's calculation of the implied volatility generally reliable?
See above.
3) Are there other (easy) ways to calculate this using existing R libraries?
See the CRAN Finance Task View for many options (pun intended): https://cran.r-project.org/web/views/Finance.html Two examples: RQuantLib, fOptions.
Thank you,
Andreas
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