Volatility Fitting App

by Vela

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.

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.

NameTypeDefaultDescription
Timerint1000Interval, in milliseconds at which the job should generate volatility curves.
autostartbooleanfalseIf checked, the job will start when the OC Metro server starts.
testmodebooleanfalseIf checked, the job will determine fitted skews, but not publish them.
debugmodebooleanfalseIf checked, the job will produce extra, detailed logging.
SymbolsStringEmpty StringA comma-delimited list of symbols (products) for which the job will generate volatility curves.
Days Until Exp RangeStringEmpty StringAn 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 TimeStringEmpty StringAn expression of the form 'hh:mm', specifying the time in CST after which the job can fit.
End TimeStringEmpty StringAn expression of the form 'hh:mm', specifying the time in CST after which the job cannot fit.
Sparse Min Data Thresholddouble100.0The percentage of strikes required to have missing data before the job employs an alternative fit strategy.
One-Shot FitbooleanfalseIf checked, the job shall generate only one set of volatility curves and cease execution.
Put Wing Cut-off Deltadouble5.0The 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 Deltadouble5.0The cutoff point of the call wing, specified in model-specific deltas. If set to 0, call wing cutoff will be automatically determined
Put Wing Slopedouble0.0The slope (in vol/strike) of the put wing
Call Wing Slopedouble0.0The slope (in vol/strike) of the call wing
Autodetermine Wing SlopebooleanfalseIf checked, previously configured slopes will be ignored and instead the wing slopes will be autodetermined

Volatility Fitting App by Vela

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