Forward Vol Term Structure

[CashDelivery]

I have a short dated option that I would like to turn into a long term synthetic forward. I'd like to do that now rather than wait until the contract expires so I don't expose myself to forward vol.

I want to do at t0 (present),
option contract sep + forward start option = option contract dec

The forward start option is the tricky part. How can I synthesize that with existing tradable and liquid exchange traded securities?

 

[Atikon]

Could you rephrase that? I'm reading this for the 2nd time and I still don't know what you are trying to do

 

[.sigma]

Goddamnit Desty where are you when we need you

 

[xandman]

I think he is asking for a free lunch but using his own jargon.

 

[Persiancoffee]

I think he is just trying to roll.

Although we call it a roll, it is in essence two independent transactions. So you need to close the Sept option and open a Dec option.

You can do this as a single trade, which will be considered a calendar trade.

 

[VolSkewTrader]

I don't think

I have a short dated option that I would like to turn into a long term synthetic forward. I'd like to do that now rather than wait until the contract expires so I don't expose myself to forward vol.

I want to do at t0 (present),
option contract sep + forward start option = option contract dec

The forward start option is the tricky part. How can I synthesize that with existing tradable and liquid exchange traded securities?

I don't think this is possible with exchange-traded plain vanilla options. You're going to need someone on an OTC desk to quote you an exotic that locks in your short-dated IV and begins (starts) at a later date which you specify ("option contract dec").