How to get volatility of SPY from its option chain(only put and call option price with different strike price). I use Black Schole model to get the implied volatility, but seems like SPY is American style option and cannot use black schole model to get the volatility.

  • $\begingroup$ In practice: everywhere I’ve worked, for a given asset, we’ve just used ATM IV with BS — even though BS is for European options. It’s just a convention / convenience. $\endgroup$
    – CasusBelli
    Dec 10 '20 at 1:59

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