Regardless of the model used, would you not require the forward volatility for the further dated contract? Anyone ever looked at what this does to the correlation skew?

<t>I am a Jr. quant working on the same problem (Forward implied volatilities in commodities) and have revived this thread to limit redundancy. I have considered various approaches, such as the method proposed by Pilipovic (2007) to create a forward volatility matrix or Rebonato?s (1999/2002) instan...

<t>I am trying to extrapolate the vol surface using Gatheral's SVI parametrization. I am working in excel and wrote the levenberg-marquardt algorithm to estimate the parameters of each expiry. This fits each individual skew very well (small squared residuals), however, the term structure of the wing...

Hi Alan,Yes this has been my problem, and I'll give your suggestion a try. I appreciate all your input.Cheers!

<t>I have the settles for each component. I observe market quotes for various strips. Typically my marks are withing these quotes but as the market evolves I observe strips that my marks don't match and need to update my surface. If I observe a 12 month strip I have 12 vols that I can adjust to sati...

<t>Alan thanks for the response ... I might not have given enough information, sorry about that.The quote for the strip of options is the average price of a strip of 3 - 12 months (one option for each month). The VXO (old VIX) assumes the term structure of volatility is linear and interpolates betwe...

<t>Apologies if this is a repost but I did not see it discussed here.Does anyone have any recommendations for calculating implied volatilities from a strip of quoted options? The strip is on the same underlying but with different maturities. There is certainly no unique solution and I was thinking a...