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I need to model the implied volatility of FX options across different strike. The problem is that the implied volatility data is available from Bloomberg only across various maturities. Does someone know how to get the data for across the strike (moneyness) of the options contract, so that I can build the smile across time and also strike.

well, i used to meet the same prob as u have, basically its pretty hard to get the full market data on OTC products, like exotic options, FX options, etc.that means u may need to try far more to build an implied vol surface across moneyness-maturity categoriesalso, bloomberg doesnt help in this case. if possible, try some banks or firms to get the access to the data required, but some data particular is still unavailablethen u are more likely to pay to get what u want

i thought fx smiles are sticky deltas rather than sticky strikes. for each standard maturity, 3 vols (ATMF, 25d RiskReversal, 25d Fly) would be sufficient i think to do the vol curve over various deltas, using the Vanna-Volga method. Based on the ATM, and the required delta, reverse caculate to get the strike relevant for the particular delta. Thats what i did anyway. Have to watch out for the vols computed off the tails.believe you can get the numbers from WVOL in Bloomberg, but mine is off the interbank market. the relevant paper you could read: Consistent Pricing of FX Options: www.fabiomercurio.it/consistentfxsmile.pdfA relevant link in wilmott: http://www.wilmott.com/messageview.cfm? ... adid=37625

GFI has some FX Vol data, they look like 25 delta RR though.Try GFIVOLSINDEX in Reuters, or their data desk might have more

QuoteOriginally posted by: midastouchi thought fx smiles are sticky deltas rather than sticky strikes. for each standard maturity, 3 vols (ATMF, 25d RiskReversal, 25d Fly) would be sufficient i think to do the vol curve over various deltas, using the Vanna-Volga method. Based on the ATM, and the required delta, reverse caculate to get the strike relevant for the particular delta. Thats what i did anyway. Have to watch out for the vols computed off the tails.believe you can get the numbers from WVOL in Bloomberg, but mine is off the interbank market. the relevant paper you could read: Consistent Pricing of FX Options: www.fabiomercurio.it/consistentfxsmile.pdfA relevant link in wilmott: http://www.wilmott.com/messageview.cfm? ... d=37625Yes, it is true that FX options are purely based on moneyness rather than strike. And I need historical vol across deltas for back testing strategies. Going forward I can download from the Bloomberg but it does not look like Bloomberg provides downloadable history for IV across deltas. Someone correct me if I am wrong. However, I think your links might be useful. Thanks