gistfile1.r

library(RQuantLib)

goog <- list(spot = 570.225,
             yield = 0,
             rate = 0.05,
             maturity = as.numeric(as.Date('2012-06-29') - Sys.Date()) / 365,
             volatility = 0.3038834, # annualizedVol()
             chain = matrix(c(550.00, 21.95,
                              555.00, 17.40,
                              560.00, 13.30,
                              565.00, 9.85,
                              570.00, 6.70,
                              575.00, 4.15,
                              580.00, 2.375,
                              585.00, 1.25,
                              590.00, 0.65,
                              595.00, 0.35,
                              600.00, 0.20,
                              605.00, 0.125,
                              610.00, 0.10,
                              615.00, 0.075),
                            ncol = 2, byrow=TRUE)
             )

toPlot = matrix()

for (i in 1:nrow(goog$chain))
{
  res <- AmericanOptionImpliedVolatility('call',
                                         goog$chain[i,2], # price
                                         goog$spot,
                                         goog$chain[i,1], # strike
                                         goog$yield,
                                         goog$rate,
                                         goog$maturity,
                                         goog$volatility)
  message(goog$chain[i,1], ',', res$impliedVol)
  toBind <- matrix(c(goog$chain[i,1], res$impliedVol), ncol=2)
  if (ncol(toPlot) == 1)
    toPlot <- toBind
  else
    toPlot <- rbind(toPlot, toBind)
}

plot(toPlot[,1], toPlot[,2], xlab='Strike Price', ylab='IV', type='l') # http://i.imgur.com/Ur8zz.png

annualizedVol <- function()
{
  library(quantmod)

  GOOG <- getSymbols('GOOG', auto.assign=FALSE, from=Sys.Date()-366)
  returns <- na.omit(diff(log(GOOG$GOOG.Adjusted)))
  return(apply(returns, 2, sd) / sqrt(1/252))
}