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%%% 
%%% Implied volatility driver
%%% 
%%% Copyright (C) 2008  Vladimir Surkov
%%%
%%%
%%% This program is free software: you can redistribute it and/or modify
%%% it under the terms of the GNU General Public License as published by
%%% the Free Software Foundation, either version 3 of the License, or
%%% (at your option) any later version.
%%%
%%% This program is distributed in the hope that it will be useful,
%%% but WITHOUT ANY WARRANTY; without even the implied warranty of
%%% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
%%% GNU General Public License for more details.
%%% 
%%% You should have received a copy of the GNU General Public License
%%% along with this program.  If not, see <http://www.gnu.org/licenses/>.
%%%
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load('SPY_Option_Prices');
K = SPY_Option_Prices(:,1);
C = SPY_Option_Prices(:,2);
P = SPY_Option_Prices(:,3);

[sigma_call, sigma_put] = ImpliedVolatility(117.5, K', 1/12, 0.02, 0.0221, C', P');

subplot(2,1,1);
plot(K, sigma_call);
subplot(2,1,2);
plot(K, sigma_put);