have 2 quick questions please help.
Constructing vol smile (OTM puts & OTM calls) from US equity market data. for Parabolas fit or other methods, the choice/method for ATM vol is non-trivial, since within the market data it is rarely the case that Underlying price == strike price (unlike Fx mkt where we have atm, bf, rr quotations) need help on 2 things.
In data set underlying price does not equal strike so-> Is there a method to find the correct ATM implied volatility, since the market will certainly not pin the exact ATM strike during the daily computation of the smile.
What is the common methodology to handle the gap between OTM Calls and OTM puts when connecting the curves to create the smile; continuously and accurately.