Implied Volatility Scripting Function

Hi,

Is there a scripting function for Implied Volatility as per the “30 day IVOL at 100% Moneyness Default Model” used by Kirk Northington in his VBSR research paper on the Optuma website?

Thanks

Tim

Hi Tim,

The Moneyness data is available with a Bloomberg datafeed only.

Hi Darren,

Thanks.

Are there any Implied Volatility scripts in Optuma?

The only thing I can find is Probability Cone.

Tim

Have you seen this one?

https://forum.optuma.com/topic/implied-monthly-range-from-vix/