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Analysis: Volatility structure shows that the December FWD IV is 66% relative to September.
According to the analysis of The Cook Capital, there have been significant changes in IV and RV in the past two weeks. From the IV and RV data, the medium and long-term RV of more than 3 months is generally around 50%, while the IV is generally higher than the RV. Therefore, the VRP of 3M/6M/1Y is considerable. From the perspective of Volatility structure, the FWD IV of December is 66% compared to September.