All Questions
9 questions
2
votes
1
answer
105
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How to reconstruct the vol surface given Level, Slope and Curvature
Assuming I have a prediction of Realized Vol, Skewness (Slope) and Kurtosis (Curvature) of the underlying of an Equity European option.
How to get IV(log(S/K)) at any point on the curve as a function ...
- 108
1
vote
0
answers
120
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What is the informational content of the volatility skew?
The option-implied volatility is well-known as a measure for the risk-neutral future expected risk for the underlying asset. However, the market prices of options (across different strikes) imply ...
- 2,231
0
votes
1
answer
31
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week-over-week impacts on IV of of options with close to before/after EOY expirations
Tomorrow is the last trading day of 2023. Compared to last week, I noticed that $SPY ATM or close-to ATM options for the end of month/quarter (Dec-29) exp experienced a spike in IV since yesterday, ...
3
votes
0
answers
191
views
Popular treasury futures bond options volatility surface model/s
I am looking for volatility surface parametrisation model used for treasury futures bond options. I know that most popular for options on equities its SVI, on FX its Vanna-Volga, on rates its SABR. ...
- 121
1
vote
0
answers
124
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How can I derive the price of american options given the european options prices? [closed]
I have the european volatility surface of a given asset. What is the correct procedure to compute the price of the options with american exercise type?
- 330
3
votes
1
answer
1k
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Interpolating implied volatility term structure when IV is sampled at fixed delta points
According to the accepted answer to a question in this site on the interpolation in the term structure of volatility surface:
A simple linear interpolation on implied variance along iso-moneyness ...
- 145
2
votes
2
answers
720
views
Is there some reason for volatility smile minima to be displaced from ATM?
I am analyzing some options data and I see that the volatility smile has its minima a few strikes higher than the current traded price (about 2.5 % higher than spot). I have checked my data thoroughly....
- 123
2
votes
0
answers
367
views
Vol surface fitting to options on commodity futures
Trying to fit variants of SVI (Zeliade method, SSVI etc) to options on futures price data. One of the core ideas of the SVI parameterization is the absence of calendar spread arbitrage.
I think the ...
- 500
1
vote
1
answer
192
views
Filter options used in the construction of implied volatility surface
Currently trying to model the IV Surface using the APPL options, to compare how different models of the underlying move the IV Surface. However, after getting the data, I've seen that some option ...
- 1,426