vol rollup john approach problem way basically asking total variance 66 2 143 distributed among 113 days last 30 days assuming volatility first period simgal last 30 days sigma 2 66 2 143 sigmal 2 113 sigma 22 30 futhermore use nov 00 implied volatility proxy sigmal calculate sigma 2 volatility dec 00 contract last 30 days sigam 2 sqrt 66 2 143 sigmal 2 113 30 make sense zimin john disturnal 07 09 2000 04 10 pm zimin lu hou ect ect cc subject vol rollup zimin trying understand near winter ng implied vols look like approach expiration example possible infer implied volatility deco 0 ng contract look like 30 days expiry given know current vol 66 term maturity 143 days