Just like for equity and index options, our robust fitter allows easy and fast calibration of tradable
volcurves for futures
options. In fact, one of our first clients has been trading crude options off our volcurves since early
2016.
Here we show fits for a couple of expiries on a recent snapshot of the market. Note that there are a
lot of
strikes and all expiries can be fitted well with the C9 curve.
The volsurface is, off course, completely free of butterfly and calendar arbitrage. The latter is
illustrated
by the total variance plot.
