Saturday, January 19, 2019

Implied volatility of a complex options position



Assume I have a "complex" options position like a straddle, strangle, or iron condor. In other words, several options traded together as a single position against one underlying asset (not a basket option).


I know the implied volatility of each of the options within the position. Is there an accepted method of generating an implied volatility for the overall position?




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