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sigma_F^2 = \frac{\sigma_2^2 T_2 - \sigma_1^2 T_1}{T_2-T_1}$$ Then the implied jump volatility would be $$\sigma_J = \sqrt{\sigma_1^2 T_1 - \sigma_F^2 (T_1-1)}$$ This approach does not account for skew … How do I adjust the implied move estimate to account for skew? …
asked Jun 25 '19 by user3294195
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I imagine I'd first have to smooth out the curve using some kind of interpolation scheme, and then apply the skew model. What's the standard industry practice for this procedure? … I'm just looking for a first order approximation that's better than using flat skew, i.e. ATM vol for all strikes. …
asked Jun 17 '19 by user3294195