# Questions tagged [volatility-surface]

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### 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 ...
69 views

### Smile Strangle and Market Strangle

What is the difference between Smile Strangle margin and Market Strangle Margin in fx derivative market? Is it just variation in convention or is there any mathematical relationship between the two?
51 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 ...
66 views

### Delta Skew Measure as volatility changes

I'm reading Trading Volatility (Colin Bennett) and there's a phrase regarding delta skew measure on p. 208 that I don't quite understand: An example of skew measured by delta is [25 delta put - 25 ...
31 views

### Relationship between Calendar Spread Arbitrage and Probability Density Function (pdf)

We all know that the butterfly spread no-arbitrage condition can be expressed as an inequality restriction on the second-order derivative $\partial ^2C/\partial K^2 \geq 0$, which also means the ...
104 views

### Pricing forward start Cliquet option with implied volatility with Dupire

I have the following implied volatility matrix of a stock index downloaded the 15th February 2019, the value of the stock was 3188.44 at the time: ...
73 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 ...
143 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/...
80 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 ...
306 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 ...
16 views

### Applications of a calibrated price or IV surface and other basic questions

Newbie here with basic questions. I have researched the topic online, but am still at a loss. I went through a nice course on calibration, saw how to apply stochastic short rate, stochastic vol, jump ...
If we have a (parametric) volatility surface which has arbitrage, then consider the delta of the options, i.e. $N(d_1)$, where \$d_1 = \frac{1}{\sqrt{t}\sigma(K)}\log(F/K) + \frac{1}{2}\sigma(K)\sqrt{...