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getOptionChain function in quantmod

2 messages · Andreas Voellenklee, Joshua Ulrich

Andreas Voellenklee
# 
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?
2) Is yahoo's calculation of the implied volatility generally reliable?
3) Are there other (easy) ways to calculate this using existing R libraries?

Thank you,

Andreas
Joshua Ulrich
#
On Mon, Apr 4, 2016 at 6:09 AM, Benno Longobardolino <wotuzu17 at gmail.com> wrote:
Because I couldn't find any documentation about how it is calculated.
See above.
See the CRAN Finance Task View for many options (pun intended):
https://cran.r-project.org/web/views/Finance.html

Two examples: RQuantLib, fOptions.