Fast and accurate implied vol calculation for any dividend model.
Super-fast and robust. Fits the whole US options universe on one box!
Based on modern Bayesian ideas, superior numerics, and 30 years of trading and research. Robustness is achieved
by transferring information across strikes, expiries and time (filtering).
Uses unique set of flexible and intuitive curves (see Curves for details), allowing smooth and bias-free fits
of all observed skews in the market.
Adjust volatility surfaces between fits using proper spot-vol dynamics.
The fitter can produce arbitrage-free volatility surfaces even in the far wings, beyond the range of listed options,
as required for the calibration of the various “SLVJ” models used for exotics and structured products.
Easily create and manipulate vol curves and surfaces to fit any market.
We offer an intuitive and flexible family of nested parametric curves,
way beyond standard curves like SSVI and SVI (which we also offer).
Curves allow the fitting of options on liquid ETFs like SPY and futures like ES, CL, and even the
W-shaped volatility curves
of tech names like AAPL and AMZN around earnings. No such curves are available anywhere else.
Easily manipulate vol level and curve shape (ATF skew, curvature, and wings).
Easily switch between different curve types.
Sensible book-level sensitivities to all parameters, even across curve types.
Curves can be used in a real-time fitter (see Fitter), or managed “by hand” if desired.
Fast pricing of var and vol swaps with optional caps, and options on var and vol.
Consistently price and hedge var/vol options with vanillas, under the same spot-vol dynamics assumption (alternatively, greeks
can be calculated under the “sticky-strike” assumption).
Either use the default calibration of a simple log-normal model from the vol surface of the underlier, or use your own vol
surface for the future variance to price and risk-manage all vol contracts together.
Example Use Cases
The Vola Dynamics libraries can be used independently or in any combination, e.g.:
Use the Pricer to price 100x faster.
Use your own pricer to imply vols to pass to the Fitter.
Use the Pricer to imply vols to pass to the Fitter.
Use the Fitter to produce curves for automated trading, risk-management, scenario analysis, margin calculations,
Use just the Curves module to manage vol curves “by hand”.
Each library is a cost-effective drop-in replacement for a critical component of your options trading infrastructure.