concept for adjoining (rough) realized index values to the (smooth) interpolated term structure curv

lol ur weak.

 

In before your ignore is broken. Dude, delete this thread.

 

How about just using imp vol to project the next day(s) range?

(Imp vol * sqrt (days/365 * Probability Factor) ) * Price

Probability Factor (i.e. Standard Deviation) is selected by trader depending on market/historical volatility fudging a little if needed.

Is it the greatest, prolly not ... shrugs its all I got.

 

No really that took about less than 20 seconds

 

My apologies… I thought you were @steve46. I should have done a quick check of post-history. Doesn’t change the argument but I wouldn’t have come across as such a hard on.

 

Lol damn. Fair enough