lampalork
Junior Member
Posts: 12
Joined: Nov 2012

Tue Nov 27, 12 01:23 AM


Hi Everyone,
I?m fetching FX vols from Bloomberg: ATM, RiskResersal 10/25 Delta and Butterfly 10/25 Delta. For each of these quotes, I get a mid / bid / ask.
i.e. VolQuote; Mid ; Bid ; Ask USD/IDR 1W ATM; 3.137; 1.637; 4.637 USD/IDR 1W 25_Delta_RR; 2.287; 0.301; 4.273 USD/IDR 1W 25_Delta_BF; 0.0475; 2.615; 2.519 USD/IDR 1W 10_Delta_RR; 3.748500 ; 1.065000 ; 8.562000 USD/IDR 1W 10_Delta_BF; 2.443500 ; 1.657000 ; 6.544000
From these quotes, I want to get my vol surface expressed in delta (i.e. I want to get ATM, 10/25DeltaCall and 10/25DeltaPut).
To calculate the Mid vols, I use the standard formulas: 25_Delta_Call_mid = Butterfly_25_Delta_mid + (Risk_Reversal_25_mid / 2) + ATM_mid 25_Delta_Put_mid = Butterfly_25_Delta_mid  (Risk_Reversal_25_mid / 2) + ATM_mid
So far, so good. That works. No surprise.
When I apply the same formulas to, let say, calculate the Asks. It does not work anymore; I?m getting negative vols. Any idea how people work these things out?
thanks for your help regards

