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Skew dynamics in FX get complicated... The only rule is that there are almost no no rules.

Here's a good summary: http://www.pimco.co.uk/EN/Insights/Pages/Finding-Sea-Level-for-Interest-Rates.aspx

Classically, it used to be par yield. However, given the current state of affairs, it's not even clear that using treasuries is the correct approach.

I used to know a bunch of people from there... If you ask on T2W, I'm sure you'll get some feedback.

Nah, it's a little different... Basically, both forms of indices exist for pretty much every mkt, but it's just a matter of which particular numbers get quoted when people refer to the most commonly used headline number. In the case of Spooz and most others, people choose to quote the price...

DAX is a total return index... Works a bit different to the other traditional price indices. It's them kinky Germans, y'know?

This should help a bit: https://www.cmegroup.com/trading/interest-rates/files/fed-funds-futures-probability-tree-calculator.pdf This uses FF futures, so things should be a little easier, due to the absence of at least some of the concerns mentioned by gat. The logic is broadly the same.

Nae, I don't teach nuthink... I just sit here, buy high, sell low, that sorta thing.

Try this then, should be easier... http://papers.ssrn.com/sol3/papers.cfm?abstract_id=567721

Buy some somewhat OTM puts... Beware of the various caveats.

The total OI on the Bund weeklies is <280 lots, if I am not mistaken. Contrast that against the total OI of arnd 1mil contracts for the regular monthly expiries. 'Nuff said.

Yes, I know they exist in theory... In practice, it's different, to paraphrase Yogi Berra.

There are no weekly bund options... Bund expiries are monthly. AFAIK, same holds for DAX.

You can assume that the mid is the mkt's current best estimate of "fair value", with all the caveats that apply to the latter.

Yet more fun: http://www.bloomberg.com/news/articles/2016-04-25/deutsche-bank-supervisory-board-rift-emerges-as-legal-costs-rise

There are some closed-form approximations that can make the BS IV calculation easier.

Illiquidity is always a double-edge sword. It can be a source of return, but, obviously at the expense of incurring additional risk. Other than that, it's impossible to generalize and you have to look at the specifics of each particular case.

You should start with the simpler case which computes IV for European options using the traditional methods. There is ample literature on that, such as: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=952727

This is very weird logic... Monopolies are bad because they create productivity losses. There is ample theoretical thought and empirical evidence to suggest that monopolies, in fact, are worse and less efficient than businesses which have to compete.

Nothing particularly special...