Volatility, Trading, Derivatives Market, Quantitative Finance, Finance.
or VIX future that expires into cash). Let’s look at how the forward volatility is calculated: Where : T2 = back-end time to expiry , T1 = front-end time to expiry, t=value date (0), K=strike (either ATM or in Δ term) As we can see, the forward vol between expires T1, T2 is derived from the