Currency options : Underlying price to calculate Implied volatility

[abcpankaj]

In USDINR option chain at nseindia.com , what is the underlying price (spot Usd-Inr exchange rate) used to calculate implied volatility.
I have tried RBI reference rate (today/yesterday) and one month future price , but nothing seems to fit in.

Used calculator at option-price website , with interest rate 10% , dividend yield 0.


regards

 

[tatyawinchu]

*bump*

I want to know this too.. very nice question :clap:

 

[manjushadas]

Im in need of 3 month implied volatilty option of usd inr

 

[abcpankaj]

Im in need of 3 month implied volatilty option of usd inr

you can check the IV at Nse website.
http://www.nseindia.com/live_market...l=USDINR&instrument=OPTCUR&expiryDt=26JUN2014

but there is hardly any volume in 2/3 months expiry currency contracts here.