volatility curves

Vola Dynamics

Intuitive. Fast. Robust.

Industry-leading options analytics.


For vanillas and vol derivatives (including VIX, var & vol swaps)

For any asset class

Trusted by the world's best 

And many others...

Why Vola?

  • Do you need a 100x faster, robust & accurate American option pricer for valuation and greeks?
  • Do you need a robust, real-time borrow and volatility fitter for electronic trading?
  • Do you need stable, arbitrage-free volatility surfaces to feed into your local vol, "SLV", or "rough volatility" models?
  • Do you need a better understanding of volatility dynamics?
  • Do you need to catch up on market-microstructure and the exchange landscape?
  • Are you designing a new options trading system?
import vola

fa   = vola.makeFactoryAnalytics()
fp   = 'AEX_20160622-160000.000-CET_ocpf-eq.json.gz'  # serialized price fitter
ocpf = fa.makeOptionChainPricerFitterEquity(fp)       # create fitter from serialized instance
oc   = ocpf.optionChain                               # the option chain with contract information
ps   = ocpf.priceSnapshot                             # price snapshot with price information
vcts = [vola.VCT.C6, vola.VCT.C10M]                   # curve types to use for fitting prices
rf   = ocpf.fit(ps, vcts)                             # fit price snapshot
vs   = rf.volSurface                                  # use the volsurface for pricing
ocp  = fa.makeOptionChainPricerEquity(oc, vs)         # create pricer
rp   = ocp.price()                                    # compute prices and greeks for all options in the option chain

vola.df.rp(rp)                                        # print prices and greeks in pandas dataframe
vola.plot.var(vs)                                     # plot total variances for the fitted vol surface


Vola Dynamics offers the world's leading options pricer and volatility fitter.

  • Flexible & Intuitive

    Trade any equity, ETF, futures, or index options off auto-fitted curves and/or easily create your own. Price and hedge vol derivatives consistent with vanillas.

  • Robust & Fast

    Relying on decades worth of research and trading, implemented in a modern Bayesian framework, using superior numerics. Automated trading even around high vol/opportunity events.

  • Cost-Effective & Easy Integration

    Drop-in replacement for the critical pricer and fitter components of your infrastructure (C++, Python, Java, C#).


Vola Pricer

  • Super-fast and robust pricing of European and American vanillas, with accurate handling of cash dividends.
  • Prices the whole US options universe on one box in a fraction of a second (without a table method!).
  • Choice of several dividend pricing models that make sense and are actually used by the most successful options trading firms (not available from vendors).
  • Covers options on stocks, ETFs, futures, and indices.
  • Handles large borrow costs and any number of cash dividends.
  • Has all greeks: delta, gamma, vega, volga, vanna, rho, rhoBorrow, theta, fugit.
  • Fast and accurate implied vol calculation for any dividend model.

Greeks as a Function of Strike


Trusted by Experts

Our clients trust Vola Dynamics to maintain their core valuation and risk analytics (pricing, greeks, volatility surface fitting, scenario analysis) for equity, futures and index options.

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