• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

How to determine the ATM_strike and ATM_vol?

tyskland

Joined
7/9/10
Messages
9
Points
11
How do I determine the ATM_strike and ATM_vol if I have the following information?

Spot price = 100
Strike prices = [100 120 140 160 180 200]
Market implicit volatilities = [18.7 16.9 12.8 11.9 10.1 9.7]/100
T = time to maturity = 0.185

If I plot the volatility smile (i.e. plotting strike prices against impl_vol), is the ATM_strke and ATM_vol the minimum point on this smile?
 
typically, traders use what is called the At the money forward. Just compute the forward price of the underlying and the strike closest to this forward price is the ATM. the point with the lowest vol is not necessarily the atm.
 
latency said:
typically, traders use what is called the At the money forward. Just compute the forward price of the underlying and the strike closest to this forward price is the ATM. the point with the lowest vol is not necessarily the atm.
Click to expand...

Thanks that is reasonable.
 
Back
Top