How to use an Option Calculator?

General
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  1. What is interest rate for any option stock?

  2. What is dividend yield?

  3. How to find volatility for any individual stock/index option?

http://www.bseindia.com/markets/derivatives/derireports/OptionCalculator.aspx?expandable=5

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  1. Take the 91 day T-bill rate as the reference rate for interest. This can also double up as the risk free rate. Check RBI website for this information…at present the rate is at 8.52%

  2. Dividend yield for an individual stock can be calculated as = Dividend per share / current stock price. If you are interested in Nifty Options the divided yield is 1.29 (as of 24th closing)

  3. For volatility of Index use a VIX approximation.

For an individual stock, I’d suggest you do the following…

a) Download stock OHLC data

b) Calculate the daily return ( prefer to use log return as opposed to simple returns)

c) Use a simple excel function =stdev() to get the daily standard deviation aka volatility

d) scale it to the time period you are interested in. If the expiry is in 20 days then… daily SD*sqrt(20) so and and so forth.

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OHLC for iEOD or EOD ?

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Use the EOD data Aman.