Do different strike values of options attain their volatility value dependent on their % distance from the ATM price continuously, or is the volatility surface stationary during a single day?

  • 1
    $\begingroup$ It changes during the day, but at my firm we only recalculate it once a day using closing prices and this seems to be "good enough" for our purposes. $\endgroup$ – Alex C Jun 23 '19 at 19:57

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.