derive bid/ask call/put vols from RR, BFly


sanjaysivakumar: Posts: 0; Joined: March 27th, 2006, 6:32 am

derive bid/ask call/put vols from RR, BFly

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#1

June 15th, 2010, 1:25 pm

Hi, for calculating call vol from RR &Bfly(1) xDCall Vol (ask) = ATM (ask) +0.5* xD RR vol(ask) +xD BFly (ask) xDCall Vol (Bid) = ATM (Bid) +0.5* xD RR vol(Bid) +xD BFly (Bid)or (2) xDCall Vol (ask) = ATM (Mid) +0.5* xD RR vol(ask) +xD BFly (ask) xDCall Vol (Bid) = ATM (Mid) +0.5* xD RR vol(Bid) +xD BFly (Bid)which one is used (1) or (2). Need inputs.Thanks in Advance

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