Help interpreting Bloomberg implied volatilities

[DoubleTrouble]

Hello everyone!

I'm going to test an option model and in order to do this I have received several historical time series for implied volatility. This is the first time I'm taking my head out from the theory and into applications of mathematical finance so please bear with me!

What I need is to get historical option prices corresponding to as many different strikes as possible, since the theory assumes a continuum of different strikes. If I just can decode all the abbreviations I'm sure I can get the prices with no problems!

The ones I've figured out, apart from the obvious (CALL, PUT, IMP_VOL) are:

DFLT: Black-Scholes model
MNY: Moneyness. For example, 105%MNY would mean that the strike is 5% above the spot price?

What I don't understand is the difference between 1ST_MTH and 1M_CALL. I mean, I would guess that 1M_CALL would be a 1 month call maturing on the 3:rd friday. But what on earth does 1ST_MTH mean?

Also, is DF and DFLT the same thing? Is DELTA the same as the greek dela from the theory? If so, how is it used in order to derive the option price?

There are also something called 0.0_SIGMA and THEORETICAL_VOL_VG.

1ST_MTH_IMPVOL_100.0%MNY_DF
1M_CALL_IMP_VOL_50DELTA_DFLT
1M_PUT_IMP_VOL_25DELTA_DFLT
1M_CALL_IMP_VOL_25DELTA_DFLT
1M_PUT_IMP_VOL_50DELTA_DFLT
1M_CALL_IMP_VOL_90DELTA_DFLT
1ST_MTH_IMPVOL_95.0%MNY_DF
1ST_MTH_IMPVOL_105.0%MNY_DF
1ST_MTH_IMPVOL_0.0_SIGMA_DF
1M_PUT_IMP_VOL_10DELTA_DFLT
1M_CALL_IMP_VOL_75DELTA_DFLT
1M_CALL_IMP_VOL_60DELTA_DFLT
1M_CALL_IMP_VOL_10DELTA_DFLT
1M_PUT_IMP_VOL_40DELTA_DFLT
1M_CALL_THEORETICAL_VOL_VG
1ST_MTH_IMPVOL_90.0%MNY_DF
1ST_MTH_IMPVOL_97.5%MNY_DF
1ST_MTH_IMPVOL_102.5%MNY_DF
1ST_MTH_IMPVOL_110.0%MNY_DF
1M_CALL_IMP_VOL_40DELTA_DFLT

I'd sincerely appreciate some guidance if someone here is familiar with the Bloomberg terminal!

Thanks in advance!

 

[Ken Abbott]

Ask Bloomberg help. They are usually quite responsive.

 

[dstefan]

Indeed, the best customer service I know of is Bloomberg's.

 

[DoubleTrouble]

I will do that the next time I'm in the finance lab. I just wish I could find some info regarding this until then!

Thanks!

 

[myampol]

The items ending with _VG indicate implied volatility with respect to the Variance Gamma model.

The items referring to "DELTA" indicate an option with a strike chosen so that its delta matches the specified value.
For example, "25DELTA" means,

Find the strike which, under current market conditions, the option (of the specified expiry) has a delta of 0.25 ;​

then, report the implied volatility of such option.​

In particular when trading options on foreign currencies, it's common for a customer to request an OTC option with a specific delta; as the spot exchange rate is moving all the time, the specific strike is then calculated at the time the deal is agreed.

 

[DoubleTrouble]

Thank you for your answer myampol. It is much appreciated!

It seemed reasonable but I wanted to hear it from someone else. Couldn't find any information regarding this what so ever!