Volatility/NET provides the best available methods for computing both implied volatility and statistical (historical) volatility. Accurate volatility estimation is the single most critical input to any option pricing model — get it wrong, and every downstream calculation is compromised.
Volatility/NET provides a comprehensive suite of implied and statistical volatility estimators, each optimised for different market conditions and data availability.
Reverse-engineer market expectations from option prices using high-precision numerical solvers. Build volatility surfaces and identify relative value across the strike spectrum.
Multiple estimators for historical volatility — from simple close-to-close through advanced range-based methods. Choose the right estimator for your data and market conditions.
Analyse how implied volatility varies across strikes. Detect skew changes that signal shifts in market sentiment and risk pricing.
Native .NET component for C#, VB.NET, and any CLR-compatible language. Drop directly into your existing pricing and risk infrastructure.
Designed to work seamlessly with Options/NET and other Windale products. Feed accurate volatility estimates directly into your pricing models.
Estimate volatility for equities, indices, commodities, and FX. One component for every asset class your desk monitors.
Volatility/NET includes 14 estimation methods across implied volatility, historical volatility, and volatility conversion — the most comprehensive toolkit available as a .NET component.
Robust bracketing solver for call and put implied volatility using the Black-Scholes model. Guaranteed convergence.
Implied volatility extraction using the binomial pricing model for call and put options, including American-style contracts.
Analytical approximation for call option implied volatility with rapid convergence and high accuracy.
Closed-form approximation for call and put implied volatility. Also available with Vega-refined iterative improvement.
Efficient analytical approximation for call and put implied volatility with minimal computational overhead.
Widely-cited closed-form approximation for call and put implied volatility, accurate across a broad range of moneyness.
Refined analytical approximation for call and put implied volatility with improved accuracy near the money.
Standard deviation of log returns — the baseline close-to-close estimator used across the industry.
Range-based estimator using high-low prices. Up to 5x more efficient than close-to-close.
Extends Parkinson with open and close prices. Up to 8x more efficient than close-to-close.
Incorporates drift (non-zero mean returns), providing more accurate estimates for trending markets.
Exponentially Weighted Moving Average — gives greater weight to recent observations, ideal for capturing volatility regime changes.
Convert volatility estimates between different time periods and scales — daily to annual, weekly to monthly, and any custom interval.
Every option pricing model takes volatility as an input. If your volatility estimate is inaccurate, every price, every Greek, and every risk number downstream is wrong. Volatility/NET ensures you're starting from the most accurate estimate available.
Compare multiple estimators side by side, understand how they diverge under different market conditions, and select the method that best fits your asset class, data frequency, and trading horizon.
Full-featured trial with all 14 estimation methods and direct access to Dr. Back for technical questions.