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I came across a volatility surface quoted in unknown format to me. I have ATM Vol Skew Kurtosis PutWing and CallWing
each for particular tenor.

Any idea of what these represent/how can I convert them to strike/moneyness given volatility would be appreciated.

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  • $\begingroup$ 1) Can you point us to where you came across this? 2) Do you have reference data that allows you to check if a suggested parametrization seems correct or not? If not, it would be hard to provide you with a parametrization just given the parameter names. $\endgroup$ – LocalVolatility Dec 1 '16 at 15:58
  • $\begingroup$ So, given that there's no strike dependence in there, it's probably fair to assume it's in moneyness space. And then if you think of the smile as the second derivative of the distribution, then the skew and kurtosis could be related to that. PutWing and CallWing will be related to the asymptotic of the wings. That's about as much as you can guess though. Interested to see the source though, as i've seen similar models. $\endgroup$ – will Dec 1 '16 at 16:59

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