There are several option pricing models (Black-Scholes, Whaley Quadratic, and Cox-Ross-Rubinstein to name a few of the more famous). All have particular reasons why they were created. Some are easier to compute, some are more precise, some work better with European style options vs. American style options, etc. The implied volatility utilized in MRCI’s Volatility Research is derived from the Black-Scholes model.

For more information, please visit:

https://www.mrci.com/help/volat.php

https://en.wikipedia.org/wiki/Black%E2%80%93Scholes_model

MRCI’s Volatility Research consists of four items which place a market’s volatility into historical perspective. The table containing each contract evaluated consists of the most recent implied and historical volatility values, the values for the central tendency (average) of historical volatility, and ±1 standard deviation, the change in implied volatility from the previous day, and how many days it is to option expiration. Additionally there are links to daily, weekly continuation and monthly continuation volatility charts.



We hope this is helpful. Please let us know if you have any additional questions--we're happy to help!