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1 mentionHOUSE_OVERSIGHT_023575 - HOUSE_OVERSIGHT_023611
Jun 6, 2017Source: House Oversight Committee
x T x skew squared), where T is time to maturity and skew = [implied vol at strike 90 - implied vol at strike 100 ]/[ 90 - 100]. For more details see Derman’s 1999 paper: More than you ever wanted to know about volatility swaps. Chart 28: GBPUSD short-dated (1 wk) implied has reached its 92"! 4yr percent
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