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I have a set of implied vols in delta space and want to derive for each delta the corresponding strike. I understand the procedure, but I am not sure what implied vol I should use, whether this has to be the ATM vol or the vol for the fitted vol for that specific delta.

Thanks!

Francesco
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    each market has specific rules. See for instance http://janroman.dhis.org/finance/FX/FX%20Volatility.pdf for an overview of the FX market. – Antoine Conze Jun 19 '18 at 12:12

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The answer is vol for specific delta.You can use ATM vol to back out ATM strike. Because Vols of strikes on the same expiry is a smile(smirk), not a flat line, you have to use different vols to back out corresponding strikes based on delta and other given option variables(underlying price, vol, t, r, q).

Hui
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