Implied volatility of short sterling options

tui · February 10th, 2007, 1:37 am

Does anyone know what model Euronext.liffe use to extract implied volatility out of their options on short sterling futures. I can't locate the details on their website.Nor can I reconcile the "indicative atm volatility" numbers on their 'Daily Information Sheets' with implied volatilities using the Black and Barone-Adesi & Whaley models. Am I mistaken in using the daily settlement prices for the futures and the option or have I selected the wrong model?

Martinghoul · February 21st, 2007, 4:46 pm

That "indicative ATM volatility" is only valid for the ATM straddle, in which case, I am pretty sure, it is computed with simple Black-Scholes.If you describe your logic in a bit more detail, I might be able to help you some more...