Option Implied Skews Comparison
CBT 25 (SABR curves) Jun 10, 2024
At the money vols and strikes (approx):
- 25 (SABR curves) M[21] 2024 Vol= 0.0139 Strike= 105.2
- 25 (SABR curves) N[26] 2024 Vol= 0.0398 Strike= 105.2
- 25 (SABR curves) Q[23] 2024 Vol= 0.0306 Strike= 105.2
- 25 (SABR curves) U[20] 2024 Vol= 0.0343 Strike= 106
- 25 (SABR curves) X[22] 2024 Vol= 0.0388 Strike= 106
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The information above is the product code, expiration month codethe exact last day of trading is in the brackets finally we have the expiry year. This is generally not the standard form for symbology. However, with some contracts we may have two or more expiries with the same contract month. The contracts may even share expiry year, so in order to disambiguate the contracts we show extra detail.
The vol is next, and finally the actual strike.