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