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Example

Can Your Fitter Do This?

Traders know that the hardest options to fit are those in the SPX complex:

SPX February 2018 implied vol surface fitted with C14pm vs strike — bias-free, arbitrage-free fit
SPX February 2018 implied vol surface fitted with C14pm vs strike, near-term expiry — bias-free, arbitrage-free fit
VXX February 2018 implied vol surface fitted with C6c vs strike — bias-free, arbitrage-free fit
VXX December 2015 implied vol surface fitted with C7 vs strike — bias-free, arbitrage-free fit
E-mini S&P 500 May 2016 implied vol surface fitted with C12m vs strike — bias-free, arbitrage-free fit
E-mini S&P 500 December 2015 implied vol surface fitted with SVI5 vs strike, first expiry — for comparison with C-family curves
E-mini S&P 500 December 2015 implied vol surface fitted with SVI5 vs strike, first expiry 50 seconds later — for comparison with C-family curves
SPY August 2015 implied vol surface fitted with C10m vs strike, first expiry — bias-free, arbitrage-free fit
SPY August 2015 implied vol surface fitted with C10m vs strike, second expiry — bias-free, arbitrage-free fit
SPY August 2015 implied vol surface fitted with C10m vs strike, third expiry — bias-free, arbitrage-free fit
SPY August 2015 implied vol surface fitted with C10m vs strike, fifth expiry — bias-free, arbitrage-free fit
SPY August 2015 implied vol surface fitted with C10m vs strike, ninth expiry — bias-free, arbitrage-free fit
SPY December 2015 implied vol surface fitted with C10m vs strike, first expiry — bias-free, arbitrage-free fit
SPY December 2015 implied vol surface fitted with C10m vs strike, second expiry — bias-free, arbitrage-free fit
SPY December 2015 implied vol surface fitted with C10m vs strike, third expiry — bias-free, arbitrage-free fit
SPY December 2015 implied vol surface fitted with C10m vs strike, fifth expiry — bias-free, arbitrage-free fit
SPY December 2015 implied vol surface fitted with C10m vs strike, eighth expiry — bias-free, arbitrage-free fit
SPY December 2015 implied vol surface fitted with C10m vs strike, first expiry — bias-free, arbitrage-free fit
SPY December 2015 implied vol surface fitted with C10m vs strike, second expiry — bias-free, arbitrage-free fit
SPY December 2015 implied vol surface fitted with C10m vs strike, third expiry — bias-free, arbitrage-free fit
SPY December 2015 implied vol surface fitted with C10m vs strike, fifth expiry — bias-free, arbitrage-free fit
SPY December 2015 implied vol surface fitted with C10m vs strike, eighth expiry — bias-free, arbitrage-free fit

Or tech names, like NVDA, TSLA, AAPL, or AMZN:

NVDA April 2025 implied vol surface fitted with C15MW in normalized strike space, second expiry — bias-free, arbitrage-free fit
NVDA April 2025 implied vol surface fitted with C15MW in normalized strike space, third expiry — bias-free, arbitrage-free fit
NVDA April 2025 implied vol surface fitted with C15MW in normalized strike space, fourth expiry — bias-free, arbitrage-free fit
NVDA April 2025 implied vol surface fitted with C15MW in normalized strike space, fifth expiry — bias-free, arbitrage-free fit
NVDA April 2025 implied vol surface fitted with C15MW in normalized strike space, sixth expiry — bias-free, arbitrage-free fit
AMZN April 2017 implied vol surface fitted with C10m vs strike, first expiry — bias-free, arbitrage-free fit
TSLA September 2024 implied vol surface fitted with C15MW in normalized strike space, first expiry — bias-free, arbitrage-free fit
TSLA September 2024 implied vol surface fitted with C15MW in normalized strike space, second expiry — bias-free, arbitrage-free fit
AAPL July 2015 implied vol surface fitted with C8 vs strike, first expiry — bias-free, arbitrage-free fit
AAPL July 2015 implied vol surface fitted with C8 vs strike, second expiry — bias-free, arbitrage-free fit
AAPL July 2015 implied vol surface fitted with C8 vs strike, fifth expiry — bias-free, arbitrage-free fit
NFLX July 2015 implied vol surface fitted with C6 vs strike — bias-free, arbitrage-free fit
NFLX July 2015 implied vol surface fitted with C6 vs strike — bias-free, arbitrage-free fit

Our clients can use the same intuitive, nested family of curves for all names, whether hard to fit ones like the above, or the vast majority of easier to fit ones.

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