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Enron Mail |
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 simga1 and that in the ?last 30 ?days is sigma2, then??(66%)2*143=sigma12*113+sigma22*30 Futhermore, we can use Nov-00 implied volatility as a proxy to sigma1, then we can calculate sigma2 which is the volatility for Dec-00 contract in the last 30 days. sigam2=sqrt((66%)2*143-sigma12*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 Dec00 NG contract will look like with 30 days to expiry given we know current vol (66%) and term to maturity ( 143 days)?
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