How Does Implied Volatility Calculation Factor into Quoting for Crypto Options RFQs?

Implied Volatility (IV) is the primary input for options pricing models, reflecting the market's expectation of future price movement. The quoting engine calculates IV by inverting the Black-Scholes model using current market prices for similar options.

The RFQ quote is then based on the provider's proprietary IV surface, which is dynamically adjusted based on market data and risk appetite. Accurate IV calculation is paramount for profitable options market making.