Volatility, Trading, Derivatives Market, Quantitative Finance, Finance.
2-month ATM straddle (starting in 1-month). Given that we know 3-month vol= 17.6% and 1-month vol = 17.3%, we can derive the forward 1x3 FVA : FVA(1x3) = sqrt[(17.6²*90–17.3²*30)/(60)] = ~17.75 2. Variance Swap Pricing Variance Swap is an amazing product IMO, and while it has everything to do with