On Daily Volatility: A Back-of-the-Envelope Caclulation

A back-of-the-envelope model for the estimation of a theoretical mid of daily volatility is presented both mathematically and then coded using Python. The model presents a mid value for an ATM daily volatility but does not go into the construction of a smile for more accurate and realistic pricing. The adjustment with respect to the previous days’ ATM market volatility is suggested for discretionary use.