September 2nd, 2013, 4:34 am
Crude and NatGas vol surfaces should be more homogenic underlyings than power. power isn't storable per se, so you should see different types of price seasonality (probably on much shorter time periods). also, they're inherently local markets.think the suggestion to build your own VIX index is good, that will allow you to build a floating term structure from fixed maturities. I'm not enough of a quant to know whether the interpolation methodology works for the entire smile, or just ATM fwd vol. in any case, you then can generate a time series of levels, spreads etc and apply the usual statistical toolkit.