I have a question about calculating the implied vol. Assuming the implied vol that a option will expire in 1 day is $\sigma_1$, and the implied vol that the option will expire in 2 days is $\sigma_2$. Is there a way to calculate the implied vol from day 1 to day 2 when it has skew? I know I can compute the local vol from day 1 to day 2 and may transform it to implied vol. But is there a more straight forward way to do it? Thanks!
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I think that there is a stackforum for Quant Finance, in case that this does not get answered. – May 21 '16 at 21:13
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What about the volatility surface? – Cavents May 21 '16 at 21:22
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Implied volatility is an artifice of an option model that is equivalent to an option price. If one assumes the processes that govern price and volatility, then there are ways (e.g., bootstrapping) to determine forward volatility between two future dates. – Mark Viola May 21 '16 at 21:29
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@ErikJoensson thanks for letting me know! – Xiao May 22 '16 at 21:59