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kelang
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Posts: 46
Joined: November 14th, 2011, 4:53 pm

market practice to extrapolate SPX volatilities?

March 29th, 2018, 9:13 pm

Hi All,

What's the market practice to extrapolate the SPX vols up to 10y? Tried different methods but still far away from Bloomberg's... Do we have to include the impact of stochastic rates for long terms?

Thank you!
 
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Alan
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Joined: December 19th, 2001, 4:01 am
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Re: market practice to extrapolate SPX volatilities?

March 30th, 2018, 2:17 pm

I don't know but the question interested me, so I googled a little, and found one place to start. The CBOE FLEX facility allows participants to ask for option quotes for up to 15 years. They apparently also do a "mark" of existent positions here, and I can see up to Dec 2026. So you could extract some implied vols from those. What I would suggest is that you follow up with the CBOE to learn about their marking procedure and, if you find out anything interesting, please post what you learned.  
 
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kelang
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Posts: 46
Joined: November 14th, 2011, 4:53 pm

Re: market practice to extrapolate SPX volatilities?

April 2nd, 2018, 1:18 pm

Thank you Alan.Will check and report back if anything
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