Forums - Bund options pricing/implied vols

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Posted by sync97 on 05-13-12 09:14 PM:

Bund options pricing/implied vols

Which option pricing formula do you guys use to figure out implied vols on the Bund options?
Black76?

Posted by Runningbear on 05-15-12 01:07 PM:

I'm with The Breaker here. Every now and then a market has a monster move based on drastically changing economic circumstances. The bund is currently in such as move. This could just be the start of it.

Posted by EquityGuy4321 on 05-15-12 01:50 PM:

Since it is an option on a future you should use Black 76. If you do a search there is a recent thread where the process of calculating iv is discussed.

Posted by mgrund on 05-16-12 12:12 AM:

Just awaiting the BUND auction tmmrw for my daily BUND trade

Posted by ElectricSavant on 05-16-12 01:51 PM:

mgrund,

I humbly ask that you stay on the thread topic.

ES

Quote from mgrund:

Just awaiting the BUND auction tmmrw for my daily BUND trade

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