Normal IV vs. Log-normal IV

[Shan Pet]

Hi All,

Anyone has any idea/thoughts around how we can convert Log-normal Implied Volatility(Black Scholes) to Normal Implied Volatility?

 

[Nicole Seaman]

Hi All,

Anyone has any idea/thoughts around how we can convert Log-normal Implied Volatility(Black Scholes) to Normal Implied Volatility?

Hello @Shan Pet

I just wanted to make sure that you were aware of our search and tag functions in the forum. Black Scholes and implied volatility have been discussed many times in our forum, so you may be able to find the answer to your question quickly by searching. I've tagged your post so you can see how the tags work. The search function can be found here: https://forum.bionicturtle.com/search/?type=post. If you do not find the answer to your question, I'm sure someone can help you, but we always encourage members to search first

Thank you,

Nicole

 

[Shan Pet]

Hello @Shan Pet

I just wanted to make sure that you were aware of our search and tag functions in the forum. Black Scholes and implied volatility have been discussed many times in our forum, so you may be able to find the answer to your question quickly by searching. I've tagged your post so you can see how the tags work. The search function can be found here: https://forum.bionicturtle.com/search/?type=post. If you do not find the answer to your question, I'm sure someone can help you, but we always encourage members to search first

Thank you,

Nicole

Thanks Nicole. I will try that.

 

[Detective]

If you're asking about ATM swaptions,

Normal Vol ~ Black Vol * abs(Forward Rate)

 

[Shan Pet]

Hi Detective,

Thanks. Yes I was asking for ATM. Thanks so much.