How to get a historical or theoretical volatility of index future

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.
 
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.

Quote from yip1997:

MTE,

I never traded future, nor future options. I start looking into the possibility of trading future options b/c of higher leverage. My question might be very naive.

I just wonder how most traders switch from index option to future option, and how do they compute volatility.

Do you trade future options?
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