The Forward Factor compares the front month implied volatility to the forward volatility between two expiration dates.
1. Forward Volatility: derived from term structure using variance additivity
σ_fwd = √[(σ_back² × T_back - σ_front² × T_front) / (T_back - T_front)]
2. Forward Factor: measures how much front IV exceeds forward vol
FF = (σ_front / σ_fwd - 1) × 100%
Every listed expiration paired with every later one, ranked by forward factor, so the best calendar is found instead of guessed at two fixed dates. Select a row to price it above.
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