In listed option's world, sometimes I see someone put different vols interchargablly, e.g. 6.7% Vol or 171 abpv or 11 dbpv may anyone elaborate each jargon in some detail, and how and when should they be used? Also are there any formula to quickly derive one another? Thanks.

  • $\begingroup$ Are you concerned with interest rate options (in which case bpv may stand for basis point volatility) ? $\endgroup$
    – nbbo2
    Jul 11 at 16:44
  • $\begingroup$ Yes but in different analytics or bbg I see others vol so just wanna know the difference and how to derive $\endgroup$
    – GChan
    Jul 11 at 17:29
  • $\begingroup$ BBG means Bloomberg? If so, I do not think you see the notation fo abpv or dbpv anywhere. If you talk aout BBG you are almost surely thinking of interst rate options. These are explained here in quite some detail. I think all other option vimplied vols (FX, Commodity, Equity, CDSO,..) on Bloomberg are in lognormal space (for delta, moneyness, etc.). $\endgroup$
    – AKdemy
    Jul 11 at 19:31

1 Answer 1


I’ve never seen those on Bberg but I’m sure they stand for annual basis point vol and daily basis point vol respectively. This is how most people look at interest rate options. You can also look at lognormal vol but most people don’t. The approximate relationships between them :$$ DBpv = abpv/ sqrt (252). $$ And $$ Logvol = abpv/ forward rate $$


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Not the answer you're looking for? Browse other questions tagged or ask your own question.