Implied volatility approximation: Brenner and Subrahmanyan method

Today we will investigate an approximation of implied volatility calculations proposed by Brenner and Subrahmanyan (1988) and discuss the logic of implied volatility calculations based on individual options or straddles.
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You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
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[@dmitribolshov9383]

Savva, thank you!

[@knot2knot90]

Awesome video! Very clear explanation, thank you.
I was wondering, if I'm able to get historical ATM call and put prices for any given stock/index, will i be able to use this method to estimate historical implied volatility? I assume that will not be the same as the observed implied volatility because of the difference in calculations?

[@NEDLeducation]

Hi, and thanks for the feedback, appreciate it. Yes, you are correct!

[@MG-yt4om]

Thx NEDL.
You are approximating the annualised implied volatility ... or I got it wrong?

[@NEDLeducation]

Hi, and thanks for the question! Yes, it is annualised implied volatility indeed.

[@amitkumarsingh4489]

can this be used for estimating ITM and OTM IV's ?