Appropriate Basket Volatility to use??

[granchio]

could it be that the original question is miswritten, and he actually meant "option on a basket" instead of "basket of options"?

[Graeme]

Yes. But given that there is no evidence of 'I speek Ingelish, I learned it from a boook...' should we be controlling for that?

[granchio]

indeed. not that we care anyway. am sure we must have dissected vol for options on baskets a few times already