ThinkOrSwim, IBKR, and others reports the implied-volatility (IV) for a given expiration. If I know the current underlying price and IV for that expiration, can I compute a rough estimate of the call or put premium at a given OTM strike (say 0.15 to 0.4 delta) options? I think the black-scholes formula will give me that, but does anyone know of a Java library or script for computing it?


I'm not sure why you would want to do such a calculation because if the option trades, the premium is available from the market. Be that as it may, yes, you can use Black Scholes to generate a rough theoretical estimate of of any option's premium if you know the IV for that expiration. However it will be rough because it won't account for variations like wide B/A spreads or volatility smile/smirk, etc.

I use IBKR's delta and IV numbers and at times, they are not that reliable, particularly for options expiring in a day or two. I don't need precision but sometimes their numbers are just whacked out or not updating in a timely fashion.

Sorry, can't help you with a Java script.

  • Simply as a short-cut. To pull the IV for a given expiration is a single query with IB's API. To pull the bid and ask is two queries multiplied by how many strikes you want. I've done that, it's just slower. I'm interested in using this as a screener, most likely run after the market is closed to identify trade candidates and potential trades for the next day. Tweaking will be needed of course, but I'm looking to calculate quick break-evens for mostly long-stock + short option trades expiring approximately 13 to 50 days out. Nov 5 '20 at 0:32

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.