re : vol rollup john ,
we can approach this problem this way . basically you are asking how
the total variance ( 66 % ) 2 * 143 are distributed among 113 days and the last ? 30 days . assuming volatility for the first period is simgal and that in the ? last 30 ? days is sigma 2 , then ? ? ( 66 % ) 2 * 143 = sigmal 2 * 113 + sigma 22 * 30
futhermore , we can use nov - 00 implied volatility as a proxy to sigmal , then
we can
calculate sigma 2 which is the volatility for dec - 00 contract in the last 30
days .
sigam 2 = sqrt ( ( 66 % ) 2 * 143 - sigmal 2 * 113 ) / 30 .
make sense ?
zimin
john disturnal
07 / 09 / 2000 04 : 10 pm
to : zimin lu / hou / ect @ ect
cc :
subject : vol rollup
zimin , i am trying to understand what the near winter ng implied vols will
look like as they approach expiration . for example , is it possible to infer
what the implied volatility of the deco 0 ng contract will look like with 30
days to expiry given we know current vol ( 66 % ) and term to maturity ( 143
days ) ?
re : vol rollup
john ,
we can approach this problem this way . basically you are asking how
the total variance ( 66 % ) 2 * 143 are distributed among 113 days and the last ? 30 days . assuming volatility for the first period is simgal and that in the ? last 30 ? days is sigma 2 , then ? ? ( 66 % ) 2 * 143 = sigmal 2 * 113 + sigma 22 * 30
futhermore , we can use nov - 00 implied volatility as a proxy to sigmal , then
we can
calculate sigma 2 which is the volatility for dec - 00 contract in the last 30
days .
sigam 2 = sqrt ( ( 66 % ) 2 * 143 - sigmal 2 * 113 ) / 30 .
make sense ?
zimin
john disturnal
07 / 09 / 2000 04 : 10 pm
to : zimin lu / hou / ect @ ect
cc :
subject : vol rollup
zimin , i am trying to understand what the near winter ng implied vols will
look like as they approach expiration . for example , is it possible to infer
what the implied volatility of the deco 0 ng contract will look like with 30
days to expiry given we know current vol ( 66 % ) and term to maturity ( 143
days ) ?