Questions tagged [volatility-surface]
The volatility-surface tag has no usage guidance.
1
vote
1answer
68 views
Volatility surface tenors
I don't think this has been asked before, but are the tenors on a volatility surface out of spot date for the currency pair or out of value T+0?
1
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1answer
67 views
Getting option volatility off vol surface
I am currently looking into FX options. I am given a delta-tenor vol surface and I want to get the volatility of an option given its strike and time to expiry. I am reading about the method used and ...
2
votes
2answers
63 views
Difference between volatility measures of a basket of assets
I am trying to understand intuitively the difference between two different measures of realized variance of a basket of assets.
The first measure I am aware of is when you take the realized variance ...
2
votes
1answer
107 views
SSVI parametrization motivation , SSVI implementation
I've read the following paper of Gatheral and Jacquier https://arxiv.org/pdf/1204.0646.pdf about volatility surfaces. I'm thinking about the SSVI surface. Is there any motivation why they choose ...
0
votes
0answers
29 views
Data request: Option prices for a liquid index/stock
Currently doing a course project on option pricing as a part of my undergraduate studies. However I cannot find a free dataset $D=[d_1,d_2,...,d_N]$, which would represent a time-serie of daily option ...
1
vote
1answer
45 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 ...
4
votes
1answer
142 views
Intuition for the Effect of Vol of Vol in Heston Model on Volatility Surface
I was hoping someone could describe the economic/mathematical intuition behind the effect that the vol of vol parameter has on the volatility surface, in particular the slope to maturity. Take for ...
1
vote
0answers
59 views
How to derive the change in portfolio value as given by Gatheral in The Volatility Surface?
I’m trying to follow Gatheral’s Volatility Surface Ch. 1, i.e. the text (pg. 5 and 6) linked to in this question, with further text discussed in this question. I can’t figure out how to arrive at the ...
1
vote
1answer
211 views
SVI Zeliade Vol Surface Calibration
Have a question about SVI Zeliade Implementation (pdf, overview).
The paper suggested to do 2 rounds of optimization, first for $\{a,b,\rho\}$ and 2nd for $\{m,\sigma\}$.
Does anyone know if I can ...
5
votes
1answer
465 views
What interpretation can I derive from an inverted volatility surface?
While pulling some reports from Bloomberg today I came across the volatility surface for NYSE: ONDK, set for an earnings call next Monday. From what I've seen before (not much, 1 month on the job and ...
5
votes
1answer
476 views
Proof of arbitrage-free implied volatility surface in relation to local volatility surfaces
I'm looking for proof of the following statement:
"The existence of an arbitrage-free implied volatility surface is
equivalent to the existence of a well-defined local volatility
surface."
4
votes
1answer
2k views
Implied Volatility Surface - log forward moneyness
I'm reading this paper by Fengler (2005) and have came across the below snippet.
context: Implied volatiltiy surface plot has 3 dimensions IV, Strike, Time to Maturity. Author replaced Strike with ...
4
votes
1answer
701 views
Spot and Vol Correlation in Idealised Regimes of the Volatility Surface
From http://www.globalvolatilitysummit.com/wp-content/uploads/2015/10/Santander-Volatility-Trading-Primer-Part-II.pdf it states that there are the four idealised regimes of volatility surface.
1) ...
1
vote
0answers
107 views
IV surface quoted Skew/Curtosis/Putwing/CallWing
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/...
