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OTC implied volatilities

damperwer

Joined
2/21/11
Messages
44
Points
18
Hey all,

I need Implied volatility data for OTC options. They can be FX options. I am trying to calculate counterparty risk using Copulas. Any historical data for such OTC vols will be really helpful to calibrate my copula. Any other inputs are welcome...

Also, if anyone knows, usually what is the difference between IVs of OTC options and Listed Options?

Thanks!
 
The IV for OTC options (In general, not necessarily the FX options) are always difficult to obtain. I gather that your model is using the difference in IV between OTC and listed options as basis for calculating the counterparty risk. I don't know if such data is readily available, but I would attempt to obtain quotation (or a series of quotes dated differently) from the dealer for which you want to calculate the counterparty risk for, and extract IV this way.
 
John said:
The IV for OTC options (In general, not necessarily the FX options) are always difficult to obtain. I gather that your model is using the difference in IV between OTC and listed options as basis for calculating the counterparty risk. I don't know if such data is readily available, but I would attempt to obtain quotation (or a series of quotes dated differently) from the dealer for which you want to calculate the counterparty risk for, and extract IV this way.
Click to expand...

John,

Thanks much for your comment. Although, I am new at using Bloomberg, I came across IVs of FX options under the caption HSBC FX Vols. I guess these are OTC vols? Also, I tried to get IVs of ISE listed options. The only problem is that there is no historical data, just the current IVs. I am actually trying to use this to calculate prices of OTC and Listed options. The difference in their price would be the counterparty risk. I have a formula of counter party risk using copulas. So, I am thinking of calculating the copula parameter from this and using it to price other OTC options. In essence, if I am not wrong, I am trying to calibrate the copula in a heuristic way..

What are your thoughts on this?
 
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