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sync97

Registered: Feb 2012
Posts: 7

05-13-12 09:14 PM

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

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Runningbear

Registered: May 2002
Posts: 1690

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.

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EquityGuy4321

Registered: Sep 2004
Posts: 182

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.

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mgrund

Registered: Feb 2012
Posts: 541

05-16-12 12:12 AM

Just awaiting the BUND auction tmmrw for my daily BUND trade

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ElectricSavant

Registered: Jan 2003
Posts: 14844

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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