How are SOFR implied vols calculated? Are they normal or log normal?

When we are pricing options with black-76 model, implied volatility must be log-normal as black model assumes log normal distribution of prices. right? Now that we have transitioned away from LIBOR, does SOFR calculates implied volatility which agrees to black model?

  • 1
    $\begingroup$ Define calculated? If they are vol quoted, you will know what quote it is by definition of the quote. If they are premium quoted, you need to convert the quote into vols yourself. $\endgroup$
    – AKdemy
    Mar 2 at 15:52
  • $\begingroup$ Said another way: given an option price , you can calculate both the implied normal vol in the Bachelier model and the implied lognormal vol in the black model. $\endgroup$
    – dm63
    Mar 5 at 19:39


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