May 11th, 2021, 7:11 pm
Thanks, was not aware. So, looks like they are trying to compute something like [$] E^Q[ (S_T - F)^2] = \sigma_Q^2 \, F^2[$] by option replication (VIX-type methodology), where F is today's forward price for expiration T?
If so, there is always the caution that [$]\sigma_Q \not= \sigma_P[$], where often the rhs is really what people want. But, [$]\sigma_Q[$] is useful, as well as the associated VIX's for the various underlying [$]S_T[$]'s.