Hi everyone,
I have a small question. I am working on a set of historical futures prices, assume (just for the sake of the example) that is on Wheat, November contract for year 2005. I have the information on daily prices up to two years in advance of the expiration of the contract, while I have data on the ATM implied volatility only up to one year in advance. I would like to extract the implied volatility to match the history with the futures prices, i.e. have also two years of data. What would be a simple method that can allow me to have an extrapolated volatility that is also more or less consistent with the data that I already have?
Thank you so much in advance,
Cheers.
Luca.
I have a small question. I am working on a set of historical futures prices, assume (just for the sake of the example) that is on Wheat, November contract for year 2005. I have the information on daily prices up to two years in advance of the expiration of the contract, while I have data on the ATM implied volatility only up to one year in advance. I would like to extract the implied volatility to match the history with the futures prices, i.e. have also two years of data. What would be a simple method that can allow me to have an extrapolated volatility that is also more or less consistent with the data that I already have?
Thank you so much in advance,
Cheers.
Luca.
