Vol modeling is tough! but I think it is well worth the effort ..Why do I think so? Well there are many reasons…But the simplest way to answer is by a simple question !

If you buy an option at implied vol = 20% , delta hedge it and notice that the realized vol is 30% , do you make money ?

Yes, would be your answer , if you just understand at a 10,000 ft view!

The correct answer is , Well, you can’t say. P&L is path dependent and dependent on realized vol each day. Unless you have some clue on how the vol will evolve, you are basically trading using “seat of the pants” approach. Would you want to take that approach ? Well , if you want to have a relatively peaceful night’s sleep , some model is better than no model !!! Well, even if it is a parametric model, it is better than no model !