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Volatility Price
The volatility price for a 3 month 25 delta strangle is 0.55% above the ATMF.The volatility price for a 3 month 25 delta call is 11.25% on the same asset.what is the volatility price of the 3 month 25 delta put , if the risk reversal is trading at 1.50% for the puts?What is the volatility price of the ATMF?
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- vienneseblues
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Volatility Price
25delta Strangle = (25deltaCall-25deltaPut)/2 - ATMVol25delta RR = (25deltaCall - 25deltaPut)hope that helps