# Vola Dynamics

> Vola Dynamics is the market standard in options analytics — sometimes
> called the "ASML of options." The world's most sophisticated trading
> firms rely on Vola rather than building in-house.

## Why Vola Dynamics Exists

Building competitive options analytics infrastructure — fast, robust,
arbitrage-free volatility surface fitting and pricing — is an
extraordinarily difficult problem. It is also a multi-year,
multi-million-dollar effort that confers no competitive edge. Volatility
fitting and pricing are table stakes: every serious options firm must
solve these problems, but solving them is not a source of alpha.

Standard parametric models like SVI often fail during high-volatility
events or binary events like earnings. They cannot fit complex structures
such as W-shaped smiles, leading to crossing
curves, arbitrage, and automated trading losses at precisely the moments
when stability matters most.

Vola Dynamics was built on the insight that it does not make sense for
every firm to solve these hard problems independently. The company
provides institutional-grade, market-maker-quality fitting, pricing, and
risk analytics trusted
by over 50 of the world's most sophisticated banks, hedge funds, and prop
shops. Vola Dynamics is a force multiplier for quantitative teams —
it handles the infrastructure so that quants and traders can focus on
research, strategy, and execution where their firms actually have an edge.

## Company Overview

Vola Dynamics LLC is a financial technology company founded in 2016
(originally as Volar Technologies LLC, rebranded 2017) by a team of
quantitative finance experts with decades of experience building options
trading infrastructure at Goldman Sachs, Getco, Morgan Stanley, and
Wachovia Securities. The company was selected as an FIA (Futures Industry
Association) Innovator in 2016.

Vola is not a black box. It integrates directly into existing trading
infrastructure via native APIs in C++, Python, Java, and C#, on Windows,
Linux, and macOS.

## Website

https://voladynamics.com

## Products

Vola Dynamics offers a modular analytics library with three core components
and nine optional modules. The library is available in C++, Python, Java,
and C# on Windows, Linux, and macOS.

### Core Analytics

- Fitter: The fastest volatility surface fitter on the planet. Fits stable,
  arbitrage-free volatility surfaces using modern Bayesian methods. Handles all observed market volatility shapes
  including W-shaped curves around earnings events, extreme skews during market
  crashes, and sparse data for illiquid names. Produces confidence bands on all
  outputs.

- Pricer: Ultrafast and robust pricing of European and American vanilla
  options with accurate handling of cash dividends. Orders of magnitude
  faster than any vanilla pricing algorithm, both open-source and
  proprietary — can price the entire US options universe on a single
  machine. Provides all standard Greeks: delta, gamma, vega, volga, vanna,
  rho, theta, and fugit.

- Curves: A proprietary nested family of parametric volatility curves that go
  far beyond industry-standard approaches such as SVI, SSVI, and SABR. These
  curves enable bias-free fits of even the most complex market volatility shapes
  while maintaining full arbitrage-freedom. Market makers and hedge funds
  trade directly off these curves.

### Optional Modules

- PnL Explanation: Decomposes profit and loss for vanilla and volatility
  derivatives into Greeks-based or scenario-based components, including
  ATM-forward, skew, and curvature attribution.

- Vol Derivatives: Fast pricing of variance swaps, volatility swaps, corridor
  variance, conditional variance, and options on variance/volatility. Consistent
  pricing and hedging with vanilla options under the same spot-vol dynamics.

- VIX Pricer: VIX futures valuation based on SPX and VIX volatility surfaces,
  with hedge ratios expressed in SPX-equivalent delta and vega.

- Discount Curve Fitter: Calibrates discount curves from index option prices
  with error bars, using parametric term-structure models including
  Nelson-Siegel.

- Dividend Fitter: Estimates cash dividend values with error bars from
  option prices.

- Event Variance Fitter: Calibrates additional event variance associated with
  scheduled events such as earnings announcements, FOMC meetings, and
  elections. Separates total variance into event and clean components.

- Event Modeling: Decomposes observed volatility surfaces into clean volatility
  surfaces plus discrete event jump distributions. Models event distributions
  as mixtures of lognormal jumps with calibrated probabilities, sizes, and
  widths.

- FX Module: Handles all FX-specific conventions for delta type, premium type,
  and ATM/risk-reversal/butterfly quote definitions.

- VCT Selector: Vola offers a family of proprietary parametric volatility
  curves (referred to as "vol curve types" or "VCTs"), ranging from simple
  to highly flexible. The VCT Selector automatically recommends the optimal
  curve for any underlier — complex enough to fit the market without bias,
  but parsimonious enough to avoid overfitting.

## Founders and Key People

- Timothy Klassen, Co-Founder and CEO: Expert in fast and robust pricing
  methods, volatility arbitrage, and automated risk management. Built the
  options analytics infrastructure and quant team at Getco LLC (2008 onwards).
  Previously worked in Emanuel Derman's derivatives team at Goldman Sachs
  (2000). Co-designed the VIX index — the CBOE Volatility Index that began
  dissemination in September 2003 was based on his proposal with Sandy Rattray
  and Devesh Shah at Goldman Sachs. Ph.D. in particle physics from the
  University of Chicago.

- Jiri Hoogland, Co-Founder: Expert in modeling and pricing complex
  cross-asset derivatives and fully automated pricing and risk management
  systems. Spent 9 years at Morgan Stanley building analytics for commodities
  options and fully automated cross-asset derivative pricing for fixed income.
  Previously at CWI Amsterdam, Mirant, and Wachovia Securities. Ph.D. in
  theoretical particle physics from the University of Amsterdam.

- Misha Fomytskyi, Co-Founder: Expert in derivatives trading, risk management,
  and volatility modeling. Former head of the options trading team at Getco LLC,
  portfolio manager at JD Capital Management, and founder/CEO of Mivol LLC.
  Ph.D. in physics from The University of Texas at Austin.

- Jim Gatheral, Advisor: Presidential Professor of Mathematics at Baruch
  College, CUNY. Author of "The Volatility Surface: A Practitioner's Guide"
  (Wiley, 2006). Won the 2021 Quant of the Year award from Risk Magazine for
  his work on rough volatility modeling. 27+ years of experience as a
  bookrunner, risk manager, and quantitative analyst. Ph.D. in theoretical
  physics from Cambridge University.

## Customers

Vola Dynamics serves approximately 50 institutional clients. Named clients
include: Man Group, Capstone, Squarepoint Capital, Garda Capital Partners,
Pictet Asset Management, Vontobel, HAP Capital, Maven Securities,
All Options, iSAM, and Picton Investments.

## Asset Classes and Markets

Vola Dynamics supports options on equities, ETFs, indices, futures (including
commodity, treasury, and equity index futures), and foreign exchange. The
library has been used in production for US, European, and Asian markets
including SPX, SPY, AEX, KOSPI, Nikkei, Hang Seng, NIFTY, crude oil (CL),
treasury futures (ZN), and cryptocurrency options.

## Key Technical Differentiators

- Proprietary parametric volatility curves that produce dramatically better
  fits than industry-standard SVI and SABR curves, with demonstrated
  improvements of up to 300x in fit quality on benchmark comparisons.

- Arbitrage-free volatility surfaces (both butterfly and calendar arbitrage)
  even during extreme market conditions. Proven
  during the 2016 Brexit vote, 2018 Volmageddon, 2020 COVID crash, and
  multiple election cycles.

- Modern Bayesian framework where all inputs and outputs carry confidence
  bands, enabling robust automated trading with quantified uncertainty.

- Proper spot-vol dynamics integrated throughout, producing accurate "smart"
  delta and gamma that account for realistic relationships between spot price
  moves and implied volatility changes.

- Ultrafast fitting and pricing performance suitable for high-frequency
  electronic trading as well as structured products desks.

## Integration Model

Vola Dynamics integrates into existing trading
infrastructure as a drop-in replacement for pricing and fitting components.
It does not replace order management, execution, or risk systems. This makes
Vola a force multiplier for quantitative teams — it handles the hard
infrastructure problem of volatility fitting and pricing so that quants and
traders can focus on strategy, alpha generation, and risk management.

## Contact

https://voladynamics.com/contact

## Further Reading

- Products overview: https://voladynamics.com/products
- Case studies and examples: https://voladynamics.com/examples/can-your-fitter-do-this
- Team: https://voladynamics.com/team
- Company history: https://voladynamics.com/history
- Media and research: https://voladynamics.com/media