Bund options pricing/implied vols

Discussion in 'Index Futures' started by sync97, May 13, 2012.

  1. sync97


    Which option pricing formula do you guys use to figure out implied vols on the Bund options?
  2. 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.
  3. 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.
  4. mgrund


    Just awaiting the BUND auction tmmrw for my daily BUND trade
  5. mgrund,

    I humbly ask that you stay on the thread topic.