scenario reference (real market quotes):
iv on the 25 Apr nifty 11800 strike is 10.4 and for the same strike for the 30 MAY the iv is 23.6…
if the iv(expected move) drops with time left to expiry then how are the iv percentiles calculated since the historical iv to be considered keeps changing based on the days left to expiry.
“is the calculation of historical iv a time-weighted function?”
historical iv = historical iv data used to calculate iv percentile.
For example: the historical iv when there are 45 days to expiry is 25 and when there are 25 days to expiry, what will be the historical iv:
a.historical iv when there are 45 days to expiry.
b.historical iv when there are 25 days to expiry.