May 22, 2019 at 8:14 AM
#126579
Keymaster
For normalization, you have to assign weightage..It is not linked to particular strike price. You should assign highest weightage to ATM contract and if your judgment is that market will move up then give relatively high weightage to call side OTM contracts and low weightage to put side OTM contracts. However, the weightage of ATM contract will be always highest on both the sides.