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Questions tagged [volatility-surface]

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2
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1answer
116 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 ...
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1answer
47 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 ...
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1answer
220 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
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0answers
42 views

Implied Funding/Borrow Costs in Short-Dated ETF Option Prices

I'm struggling with some anomalous behavior in an analysis I'm running and was hoping for some advice/insights. I'm attempting to extract the implied funding/borrow costs from ETF option prices (say ...
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0answers
60 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 ...
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0answers
109 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/...
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0answers
30 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 ...