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We have Sungard data (MarketPlace8), but for nearby maturities the ask-bid of the calls are all the same when we are out of the money (call), so should we calculate the implied volatilities of calls for strikes below S0 and the rest by puts ? Or all from calls ? Thank you very much.

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You should use the out of the money options on either side of the curve as they carry the most information about the optionality part of the price.

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  • $\begingroup$ Thanks for the answer, but I don't get it, if every call for K>S0 is the same (like 0.1 bid, 0.3 ask everytime) how is this carrying the most information ? $\endgroup$ – memela Dec 10 '19 at 22:53
  • $\begingroup$ Are those real quotes where actual volume is being transacted? If not you should not use them and you will just have to extrapolate from the liquid strikes. $\endgroup$ – roz Dec 11 '19 at 15:40
  • $\begingroup$ I don't have the volume for each (Strike, Maturity), just the overall volume (on excel, I don't remember on MarketPlace, I have to check at the uni). Ok thanks, I will try with the extrapolation too. $\endgroup$ – memela Dec 12 '19 at 1:45

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