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Implied Vol Skew
Hi there I am trying to figure out how to calculate implied volatility skewness for ATM options on the FTSE. I would also like to see how this changes over time.I am looking at a report from Deutsche and they have a graph of evolution of Implied Vol Skew Steepness for 3M 90%-100% (on FTSE) over time. Is there a simple way to calculate this? Perhaps from the smile? If anyone could point me in the right direction that would be great...Thanks
Implied Vol Skew
Get loads of price quotes on the options you want, calculate the implied vol for all of them, do smoothed splines on the volatility surface in matlab and then differentiate the splines at the point of interest, when you do the smoothed splines, pull together a weeks worth of option data or something like that to get the vol surface robust and then propagate a week forward at a time, you should see how the vol surface changes and also how your relevant steepness parameter varies. hope this helps...