The future levels of volatility calculated taking into account current market prices of options. It builds on spot implied volatility and forward rates. More specifically, the forward implied volatility between two dates is the expected volatility between the two periods inferred from option prices (where volatility is implied from other known variables: underlying price, interest rate, premium, and strike price). However, to imply such a volatility measure, market prices along with model choice are the main factors.

Forward implied volatility is also called forward-forward implied volatility.