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OVDV Bloomberg Equity Volatilities: Features and Benefits 21 June 2010

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Raphaël FromEver
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375 views8 pages

OVDV Bloomberg Equity Volatilities: Features and Benefits 21 June 2010

Uploaded by

Raphaël FromEver
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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OVDV<GO> Bloomberg equity volatilities

Features and benefits

21st June 2010


OVDV for equity volatilities

„ Use OVDV<GO> to display and analyze new Bloomberg volatility surfaces on


equity shares, equity indexes, futures and exchange traded funds, with a liquid
market of listed options;

„ Volatilities are implied from prices of listed options, employing advanced


filtering and smoothing techniques to remove arbitrages. Volatilities are
extrapolated to cover a wide range of moneyness and expiries for OTC options
and structured products pricing;

„ New Bloomberg volatility surfaces shown in OVDV are used as default choice
in equity derivatives pricing analytics including OVME, OVCV, and OVSN;

„ Type IDOC 2056700 on your Bloomberg terminal to download a description of


calculations used for volatility surfaces contruction.

OVDV <GO>
OVDV – implied volatility tables

ƒ Visualize implied
volatility surfaces in terms
of Moneyness, Call /Put
Delta and Sigma;

ƒ Implied (amber) and


extrapolated (grey)
volatilities o cover a wide
range of moneyness and
expiries;

ƒ Employing improved
data filtering and
smoothing techniques to
remove arbitrages.

OVDV <GO>
OVDV – volatility graphical analysis

ƒ Visualize in one page


volatility surface, term
structure and skew;

ƒ Implied volatility
surfaces are calculated on
80% of all equity and
equity indexes for a total
of over 5,000 securities
worldwide.

OVDV <GO>
OVDV – term structure analysis

ƒ Compare term structure


on different securities,
moneyness levels, pricing
dates;

ƒ Compare implied vol term


structure with variance
swaps theoretical quotes;

ƒVisualize absolute and


relative spreads.

OVDV <GO>
OVDV – SKEW analysis

ƒ Compare volatility smile


on on different securities,
moneyness levels, pricing
dates;

ƒChart vol skews by


moneyness, call and put
delta, sigma;

ƒVisualize absolute and


relative spreads

OVDV <GO>
OVDV – market implied dividends

ƒ Visualize market
implied forwards and
dividends;

ƒ Compare implied
dividends with
forecasted dividends
(BDVD);

ƒ Visualize historical and


implied volatilities;

OVDV <GO>
Press the <HELP>
key twice for instant
live assistance.

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