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Implied Volatility Using Python's Pandas Package

This code is to accompany the corresponding Numerical Algorithms Group (NAG) blog post.

This script uses options data downloaded from the CBOE in csv format. Be sure to download data during CBOE trading hours to ensure the graphs are not null. To run type

$ python QuoteData.dat

This script has been tested with the following packages:

  • Python 2.7 or 3.4
  • numpy 1.9.0
  • pandas 0.14.1
  • matplotlib 1.4.2
  • nag4py-23.0rc1

A NAG C Library license is required to run the script. To obtain a free 30-day trial license, email

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