I have a question about calculating the implied vol. Assuming the implied vol that a option will expire in 1 day is $\sigma_1$, and the implied vol that the option will expire in 2 days is $\sigma_2$. Is there a way to calculate the implied vol from day 1 to day 2 when it has skew? I know I can compute the local vol from day 1 to day 2 and may transform it to implied vol. But is there a more straight forward way to do it? Thanks!
2026-04-02 16:51:12.1775148672
implied volatility
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