# Tag Info

## New answers tagged implied-volatility

0

Sorry, I should have though more before posting this question. By the way, the payoff of a call option on VIX index, priced at time $t$, with maturity at time $T$, is $$(VIX_{T} - K)^+$$ and since the time $t$ strike of a VIX futures with same maturity $T$ is F_{t,T} = E^{Q}[VIX_T \big| \mathcal{F}_t] ...

0

Forward implied volatility smile is implied from forward start options. For example call options have payoff $$g_{T+\theta} = \left( \frac{S_{T+\theta}}{S_T} -K\right)_+$$ If you are in a stochastic volatility model this can be rewritten  g_{T+\theta} = \left( e^{ \int_T^{T+\theta} r - \frac{1}{2}\sigma_t^2 dt + \int_T^{T+\theta}\sigma_tdW^S_t } ...

0

I'm not an equities guy so I don't know anything about volume-weighting, but if I was set this problem the approach that I would take would be to work out the implied volatility of each strike for that day, so that I have a graph of implied volatilty against strike, then interpolate on that graph to get the implied volatility for the ATM strike. Do that for ...

Top 50 recent answers are included