Volatility Fitting App

Pricing $200/month

The Volatility Fitting App allows for automated management of volatility curves across various products and instrument months. The job does this by creating Assigned Volatility curves that fit to mid-market, effectively handling outliers and missing market data on a timer to ensure that the fitted curve is fairly smooth and within market implied vols. The job can be configured to fit on a subset of expirations on one or more symbols with various options for fitting the wings.

Additional Materials

VolatilityFittingApp_UserGuide.pdf

(PDF 1513267 bytes)

Video

Play the video below to see the widget or algo in action. Metro NOW gives widgets the ability to work in a similar behavior across several asset classes or exchanges. This keeps usability consistent and promotes high application stability.

Configuration Options

All of the variables below can be configured or modified at runtime. This gives users the power to modify their job behavior throughout the day without having to make code changes.

Name	Type	Default	Description
Timer	int	1000	Interval, in milliseconds at which the job should generate volatility curves.
autostart	boolean	false	If checked, the job will start when the OC Metro server starts.
testmode	boolean	false	If checked, the job will determine fitted skews, but not publish them.
debugmode	boolean	false	If checked, the job will produce extra, detailed logging.
Symbols	String	Empty String	A comma-delimited list of symbols (products) for which the job will generate volatility curves.
Days Until Exp Range	String	Empty String	An expression of the form 'int - int' specifying a range where the first int is the minimum of the range and the second int is the maximum of the range. The range specifies the min number of days until expiration and max number of days until expiration an
Start Time	String	Empty String	An expression of the form 'hh:mm', specifying the time in CST after which the job can fit.
End Time	String	Empty String	An expression of the form 'hh:mm', specifying the time in CST after which the job cannot fit.
Sparse Min Data Threshold	double	100.0	The percentage of strikes required to have missing data before the job employs an alternative fit strategy.
One-Shot Fit	boolean	false	If checked, the job shall generate only one set of volatility curves and cease execution.
Put Wing Cut-off Delta	double	5.0	The cutoff point of the put wing, specified in model-specific deltas. If set to 0, put wing cutoff will be automatically determined
Call Wing Cut-off Delta	double	5.0	The cutoff point of the call wing, specified in model-specific deltas. If set to 0, call wing cutoff will be automatically determined
Put Wing Slope	double	0.0	The slope (in vol/strike) of the put wing
Call Wing Slope	double	0.0	The slope (in vol/strike) of the call wing
Autodetermine Wing Slope	boolean	false	If checked, previously configured slopes will be ignored and instead the wing slopes will be autodetermined

Back to Resources

Volatility Fitting App

Additional Materials

Video

Configuration Options

Enter a search term and hit return when you’re ready