SK10

B

bines

Hello Everyone ,

ATMF strike is =100 i vol 24.3%
100%-10%*sqrt(t) ,t 35 dey to Expiration. strike =96.9% i vol 26.5%.

What is the formula to give me vol ,for strikes 99%,101% ,104% ?

Thank you !
 
I don't use excel that much, so no formula. Excel has a solver routine that lets you pick a formula cell and target cell which it will iterate to solve for the value. IIRC, it is part of the add-on package.
 
Hi timbo ,

I heve 100% ,96.9% ,I need more strike ? What is the additional strike, so I can make Interpolation ?
I understand that I get to model Vanna-Volga, but with the other points?

Thank you !
 
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