H heech Jun 8, 2009 #11 Quote from Kevin Schmit: A very crude approximation: ATM_Strike * (1 +- (sqrt(time-to-expiry-in-years) * sigma/2)) This will slightly underestimate the call and also the put strike. Which under normal skew is ok. More... Great, that's the answer I was hoping for. Just seeing that the result has a linear relationship with sigma is helpful.
Quote from Kevin Schmit: A very crude approximation: ATM_Strike * (1 +- (sqrt(time-to-expiry-in-years) * sigma/2)) This will slightly underestimate the call and also the put strike. Which under normal skew is ok. More... Great, that's the answer I was hoping for. Just seeing that the result has a linear relationship with sigma is helpful.
