The VTA35 is calculated as the weighted average of implied volatility of ATM options included in the index.
The implied volatility is calculated according to the Black & Scholes model.
The following are parameters for calculating the IV according to the Black & Scholes formula:
Option Price (premium) – mid price at the time of calculation (midpoint between bid and ask prices).
Underlying asset - the synthetic TA-35 index value, which is calculated as the average between the best synthetic index for buy and the best synthetic index for sale, according to the Put-Call Parity formula, according to mid prices of Call and Put options at four exercise prices around the money in the relevant series of options.
Interest rate - Bank of Israel interest rate.
Exercise price - the exercise price of the relevant option.
Time to expiration - expiration period of the relevant option
