Considering each point is 2500, how can I get the volatility of the jun 24 contract? On tastyworks I'm seeing a 0.7% iv for the contract, how can I translate it to standard deviation? Ex:sp500 15%stdev, gold 20% stdev
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$\begingroup$ S&P Emini point value is 50, current price is 4400 (approx), notional is 220,000. 15% of this is 33,000 dollars. This is annualized standard deviation for a 1 contract position. Eurodollar: 1 point is 2500, 100 points (hypothetical current price, just for ex.) is 250000 notional, 0.7% is 1750 dollars. $\endgroup$– nbbo2Oct 15, 2021 at 15:13
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$\begingroup$ Thank you for adding context. Do you know why brokerages have different iv? Tastyworks has 0.7% and I'm seeing ibkr tell me it's at 0.07% $\endgroup$– JamieC113Oct 15, 2021 at 15:31
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1$\begingroup$ Have you asked the brokerages what their IV quotes represent? Neither 0.7% nor 0.07% seems remotely correct. See, for example, cmegroup.com/tools-information/quikstrike/… $\endgroup$– user42108Oct 15, 2021 at 17:47
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$\begingroup$ How can I see the back months on this tool to check the Jun '24 expiration volatility? This is showing that the market is pricing in a 25 bps volatility for EDM2? $\endgroup$– JamieC113Oct 15, 2021 at 19:33
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$\begingroup$ Does the volatility in the quikstrike tool in bps? for example 15 vol= 15bps=15*$25=$375 $\endgroup$– JamieC113Oct 15, 2021 at 20:35
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1 Answer
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For the purpose of calculating the option vol of Eurodollars you need to convert the underlying to basis points of interest. Subtract the price from 100 to determine that level. Sep Euros settled at 99.53. 100-99.53 is .47 .47 is the underlying. Additionally, strikes are 100-strike. The 99.50 strike is really the .5 strike.