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Options implied volatility (IV) and skew can be calculated using the current option prices. I ask to what extent those observed variables are expected to deviate from the "expected" or predicted values for those parameters.

Specifically, it is reasonable to assume that the current IV is a function of the current and historical volatility pattern of the underlying asset plus an extra variable representative of the genuine forward-looking expectation of the market participants (i.e., in case a significant release is pending).

My goal is to assess the weight of the "current and historical volatility and skew" in predicting the current IV and skew. In other words: how good is this at predicting the current IV.

d_e
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    I think the "genuine forward-looking..." outweighs history. But don't forget the volatility premium that you need to add to the expected forward volatility to get the IV. You do get a reward to go short IV. – Mats Lind Apr 04 '23 at 07:43

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One simple approach for IV is to use volatility cones based off of realized volatility. See this PDF for an explanation of the approach https://www.m-x.ca/f_publications_en/cone_vol_en.pdf and this blog with some python code and an example https://quantpy.com.au/black-scholes-model/historical-volatility-cones/

pyCthon
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