Ladies and Gents,
Im writing a quick routine to calculate implied vols for options on EUR$ futures with Bloomberg data. My question concerns the part where I have all my inputs and am ready to pass them to my implied vol function. Assume we have the following market quotes (example ticker: EDK1C 98.750 Comdty): Strike = 98.750 Underlying Spot = 99.7050 Option Price = 0.9550
When passing these to my function, do I convert the Underlying spot and strike to S = (100 - Underlying Spot)/100 and K = (100 - Strike)/100 respectively and use the market option price as is so our implied vol method is some function IV = f(S,K,Option Price,...) OR convert the option price to oP = 100 - (Option Price)*100 and leave the spot and strike such that our implied vol method is some function IV = f(Strike ,Underlying Spot,oP,...) ???
The latter has yielded a rational result but I would love some feedback.