Dynamic Skew Algo now supports 13-Point Flexible Spline

Posted 28th May 2020

The Dynamic Skew Algo (DSA) – available in the Metro Store Front – automatically generates unbiased, fair value volatility curves.

During these times of extreme market conditions, you need access to tools that generate accurate volatility curves. The latest version of the DSA is now compatible with the 13-Point Flexible Spline and 7-Point Flexible Spline Skew Types, popular in Metro and commonly used for pricing S&P index and oil options.

Here are some of the newest features available in the DSA:

  • In addition to auto-fitting, the DSA can control the evolution of the curve over time with various configuration settings.
  • Users can allow the DSA to automatically model the wings or specify their own wing slopes.
  • Users can define their own strike or standard deviation spline control points.
  • Accompanying multi-skew risk functionality allows the user to accurately track position risk with one skew type, while simultaneously trading in another. A copy trades feature allows portfolios to be duplicated to an artificial symbol.

You can get more details directly from algo creators nth Moment, or contact your Vela account manager to learn how you can try the latest DSA release for free.

Contact Information

Should you have any questions about this release, please contact your Account Manager or reach out to the Account Management team:

  • Email: accountmgmt@tradevela.com
  • Telephone: +1 312 605 4533

For any support queries, please contact the Metro Support team:

  • Email: metrosupport@tradevela.com
  • Telephone: US: +1 312 605 4599 | EMEA +44 203 053 6010
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