They don't give pure exposure. It's more of an indicator to what's relatively high or low. The expression of the trade still needs to reflect the user's other considerations. For example if the forward looks expensive and you want to buy vol you could choose to target the earlier month.
Hey Kris, question on something which is not related to the current ongoing series.
How do you use forward volatility to trade calendars(mostly equity index)? As Calendar spreads (1:1) don't give pure exposure to forward volatility.
Thank you.
They don't give pure exposure. It's more of an indicator to what's relatively high or low. The expression of the trade still needs to reflect the user's other considerations. For example if the forward looks expensive and you want to buy vol you could choose to target the earlier month.
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