The recent BVR webinar “The Use and Application of Option Pricing Modeling” elicited several questions from listeners, one of which was:
“What is the best resource of obtaining volatility for debt? CapIQ? Bloomberg? What do you do if public comps don’t have publicly traded debt?
Presenters Jim Walling (Grant Thornton) and Scott Beauchene (Strategic Value Group) responded:
Neither of those sources will provide debt volatility directly. You usually have to pull pricing for guideline debt securities and do the calculation. Industry asset volatilities are available on Damodaran’s website.