As title states, I am trying to compare historical to implied volatility of a stock.
I approximate the single implied volatility (30 days forward) of the stock by first finding 2 series that straddle the 30 days to expiration. Per serie I then take 2 ATM options that straddle the current stock price. I interpolate the IV from the 2 options per serie so that I have the IV for the exact stock price. At this point I have the stock's IV for 2 expiration dates, I then interpolate between the 2 IVs based on day difference so I have the stock's IV for exact 30 days. 1) Does this make any sense?
Calculating historical volatility should be fairly straight forward by obtaining the std dev of the stock's past price movements. However, I struggle with what time periods I should be using. 2) Does it for example make sense to compare the 90day historical volatility to the 30day forward implied volatility? I am not quite sure if IV is already annualised at this point. If it is, surely I can compare any historical period to any IV period?