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.
VolatilityFittingApp_UserGuide.pdf
(PDF 1513267 bytes)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.
Volatility Fitting App by Vela
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