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I like the fast calibration versus slow calibration method which should suffice for your purposes. The slow calibration method calculates the implied vol and the Greeks in the usual way. Then a fast calibration method can use the prior slow calculation's implied vol, delta, gamma and vega - we can assume rho/theta are zero over your timespan. Then use the price from the slow calibration and this approximation ($P$ is for the option price, $S$ for the underlying, and $\nu$ for vega:

$$P_{t}\approx P_{t-1}+\Delta(S_t-S_{t-1})+0.5\Gamma(S_t-S_{t-1})^2+\nu(\sigma_t-\sigma_{t-1})$$

Everything you need is there to solve for $\sigma_t$ in the fast calibration. Have the slow calibration run in the background and each time it completes, use it as the new benchmark for the fast calibration.

This is still a significant technical amount of technical work, but doable and almost certainly sufficient for the application. You can probably omit the use of $\Gamma$ over such a short time step, but it is there if you want it. Watch out for bid/ask anomalies too (i.e. pulling bid and putting them back can make the mid vols look like they move a lot when they don't really), but that goes for any method and not just this one.

I like the fast calibration versus slow calibration method which should suffice for your purposes. The slow calibration method calculates the implied vol and the Greeks in the usual way. Then a fast calibration method can use the prior slow calculation's implied vol, delta, gamma and vega - we can assume rho/theta are zero over your timespan. Then use the price from the slow calibration and this approximation ($P$ is for the option price, $S$ for the underlying, and $\nu$ for vega:

$$P_{t}\approx P_{t-1}+\Delta(S_t-S_{t-1})+0.5\Gamma(S_t-S_{t-1})^2+\nu(\sigma_t-\sigma_{t-1})$$

Everything you need is there to solve for $\sigma_t$ in the fast calibration. Have the slow calibration run in the background and each time it completes, use it as the new benchmark for the fast calibration.

This is still a significant technical amount of work, but doable and almost certainly sufficient for the application. You can probably omit the use of $\Gamma$ over such a short time step, but it is there if you want it. Watch out for bid/ask anomalies too (i.e. pulling bid and putting them back can make the mid vols look like they move a lot when they don't really), but that goes for any method and not just this one.

I like the fast calibration versus slow calibration method which should suffice for your purposes. The slow calibration method calculates the implied vol and the Greeks in the usual way. Then a fast calibration method can use the prior slow calculation's implied vol, delta, gamma and vega - we can assume rho/theta are zero over your timespan. Then use the price from the slow calibration and this approximation ($P$ is for the option price, $S$ for the underlying, and $\nu$ for vega:

$$P_{t}\approx P_{t-1}+\Delta(S_t-S_{t-1})+0.5\Gamma(S_t-S_{t-1})^2+\nu(\sigma_t-\sigma_{t-1})$$

Everything you need is there to solve for $\sigma_t$ in the fast calibration. Have the slow calibration run in the background and each time it completes, use it as the new benchmark for the fast calibration.

This is still a significant amount of technical work, but doable and almost certainly sufficient for the application. You can probably omit the use of $\Gamma$ over such a short time step, but it is there if you want it. Watch out for bid/ask anomalies too (i.e. pulling bid and putting them back can make the mid vols look like they move a lot when they don't really), but that goes for any method and not just this one.

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I like the fast calibration versus slow calibration method which should suffice for your purposes. The slow calibration method calculates the implied vol and the Greeks in the usual way. Then a fast calibration method can use the prior slow calculation's implied vol, delta, gamma and vega - we can assume rho/theta are zero over your timespan. Then use the price from the slow calibration and this approximation ($P$ is for the option price, $S$ for the underlying, and $\nu$ for vega:

$$P_{t}\approx P_{t-1}+\Delta(S_t-S_{t-1})+0.5\Gamma(S_t-S_{t-1})^2+\nu(\sigma_t-\sigma_{t-1})$$

Everything you need is there to solve for $\sigma_t$ in the fast calibration. Have the slow calibration run in the background and each time it completes, use it as the new benchmark for the fast calibration.

This is still a significant technical amount of work, but doable and almost certainly sufficient for the application. You can probably omit the use of $\Gamma$ over such a short time step, but it is there if you want it. Watch out for bid/ask anomalies too (i.e. pulling bid and putting them back can make the mid vols look like they move a lot when they don't really), but that goes for any method and not just this one.