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I tested your numbers, because I use Optionscope and work with Options,
and confirmed your result - nada.
However I simulated a scaled down option premium but using your strike
and security index prices.
Apparently the implied volatility becomes too large, when solving the
Black Scholes equation, and the OptionScope program can't compute above
an implied volatility of 199.999. This occurs when I scale up the
premium price (simulated) from 1 to 5.
I'm not sure why the program does this and will investigate further.
It shouldn't be the lira dimension since your premium is about 5% of
the security. I trade some index options currently and the premiums
are generally aobut 3%.
By the way you can experiment for yourself by backing out the option
premium as follows: Enter the index strike and security price as
you gave it, but then enter the volatility of 199 and see what the
formula does to derive the option premium.
Buon giorno,
Stan Rubenstein
At 02:44 PM 10/14/97 -0700, you wrote:
>Hi to the list;
>
>I am trying to calculate implied volatility of MIBO option based over
>the italian MIB30 stock index. This type of options is european style.
>If I introduce in optionscope the MIB 30 index value of 23484 points, a
>strike price of 22000, expiring month oct97 and the call option price of
>1789 italian lire and an interest rate of 7% I am not able to get as
>output the related implied volatility as well as the greeks variable.
>May somebody help me to solve the problem?
>
>Thanks a lot in advance
>
>Rgds
>
>Marco Guglielmo
>(Turin,Italy)
>
>
>
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