Implied volatility is calculated for swaptions. In SDX Commodities & Energy it is displayed in both the Single Option page and in the Portfolio page as Implied Vols.
This volatility is the implied volatility of the respective vanilla with same underlying (i.e., the swap) as the swaption as relevant. This volatility incorporates all the volatilities and correlations of the futures involved in the underlying swap.
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When calculating the effective volatility SDX Commodities & Energy uses the market price rather than the TV. |