Hi. I’m interested in building an implied volatility surface term structure for a medium-sized company. However, I only have options data that expires in five and six months. What do I need to create an IV plot?
I should note I do have the ability to gather dividend and interest rate data. I have heard that it’s better, in this case, to calculate initial deltas with this information, rather than use standard deviations, but I don’t hear that advice repeated everywhere and I’m not experienced with deltas.