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.
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$\begingroup$ Are you concerned with interest rate options (in which case bpv may stand for basis point volatility) ? $\endgroup$– nbbo2Jul 11 at 16:44
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$\begingroup$ Yes but in different analytics or bbg I see others vol so just wanna know the difference and how to derive $\endgroup$– GChanJul 11 at 17:29
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$\begingroup$ 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.). $\endgroup$– AKdemyJul 11 at 19:31
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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 $$ Logvol = abpv/ forward rate $$
