Hello,I am doing some reseach on zero cost collar strategies on equity indices, i.e. buy a put for say 95% protection in the downside and then finance this by selling a call which caps the upside. Initially this work is going to be on single indices but may well extend it to a basket in the future. Obviously to price the 95 put is pretty straightforward as I can just pull the appropriate implied vol from bloomberg without to much difficulty, the qeustion is how do I then back out the upside cap from the price of the put. A couple of things spring to mind here what implied vol should I use for the call? Bloomberg does actually have a zero cost collar calculator ZCCR and as a default it sets the implied vol of the call and the put to be the same, I am not sure if this quite correct. Once I have the implied vol I suppose I could just useAny ideas would be great

bloomberg does not have vols, it has prices. so why don't you start there? plot strike as a function of call price and find the one, which matches the price of the put.