AppliedNumeric answer
At-the-money volatility is , the -delta call is at and the -delta put at . What is the -delta butterfly quote, in volatility points?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
Learn the method
More volatility questions
- Forward volatility across the term structure, part 1 of 3Foundation
- You buy the 25-delta call and sell the 25-delta put, each with vega 0.10 per…Applied
- Index implied correlation has tended to exceed the correlation later realised…Applied
- Forward volatility across the term structure, part 2 of 3Applied
- You believe index skew is too steep. What is the cleanest expression of that view?Advanced
- An index holds two stocks in equal weight, with implied volatilities of 30% and 20%.Advanced