# CMS spread vanilla options quotation

How are vanilla (call/put) options on CMS spread quoted on the markets ? Through an implied (normal/lognormal) volatility with a normal/lognormal model on the spread in the forward measure ?

• Oh ok. I am trying to do the converse : backing out the correlation to use it for a pricing of a mid-curve swaption whose payoff I approximated (by freezing some annuities fractions to their time-0 value) by a "generalized" spread option, of pay-off $\max(\alpha S_T^1 - \beta S_T^2,0)$ where the $S_T^i$ are the two CMS rates. – Olorin May 14 '18 at 6:47
• Actually I know that many banks quick price mid-term swaption like this, with a gaussian copula, backing out its $\rho$ from the aforementioned correlation. – Olorin May 14 '18 at 7:26