How to get a historical or theoretical volatility of index future

Discussion in 'Options' started by yip1997, Jun 28, 2006.

  1. Another problem is that the S&P closes at 4pm while the futures closes at 4.15pm, so they are not exactly the same thing.

    A continuous contract sounds like the way to go since it might better mimick what a market maker in options on futures would use as a hedge than the cash index.
     
    #11     Jun 30, 2006
  2. SPX (cash) options are largely priced off futures so the volatility question is moot IMO. Any minor differences are most likely outweighed by flaws and assumptions in your option pricing model.

     
    #12     Jun 30, 2006