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- recepyakar
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bloomberg data on ImpVol
hello,i have daily ImpVol data for a company traded in NASDAQ, for 50D put 2Months.but now i need to obtain every Strike Price (K) for the options referring these ImpVol data, for each day.all i know is maturity, ImpVol for 50D put option, and the date regarding this Vol. nothing more...indeed, bloomberg help desk cud not be able to answer this, but i am wondering if any of you guys have some idea about this matter ?thanks in advance, best !recep
bloomberg data on ImpVol
Simply invert delta strike to price strike. There is a paper by U.Wystup to be found on the web with a proper formula. Or simply derive it by yourself.M.
Last edited by marpa on November 14th, 2010, 11:00 pm, edited 1 time in total.