Registered: May 2012
07-17-12 01:59 PM
Quote from am123:
I was wondering if there was any relationship, between implied vol and time-to-maturity, found in the market place in general or for specific assets? I cant seem to find anything too good online. For example, would the implied vol ATM differ for a 1 month option vs 1 year option?(holding all other contract specifications constant)
In equity options, typically the longer dated options have lower implied vols. Commodities can be different. For example, look at the implied vol for GLD which follows gold. The back months are always higher except during big short term moves.
The exception for equity options is at times of very low vols or during holiday periods.