Ever wanted to have more flexibility when calibrating a volatility curve to match market prices? Traders can now leverage improved pricing and valuation in the volatility advancements in Metro 5.2. Advancements include the ability to assign the center of a floating volatility curve in terms of the point type. Instead of floating a curve along the current underlying, each curve can follow the 50 delta strike, or even a 1/2 standard deviation shift above the spot price. One added benefit is that the new functionality can provide a sticky strike volatility dynamic. Join us in this session as Quantitative Analyst, David Hrencecin, provides outlines the problems these volatility advancements solve for traders, as well as touching upon the future direction of volatility modeling at OptionsCity.
- Problem and solution cases with example markets
- Removing the link between ATM vol and center vol
- Sticky strike and sticky delta
- The future shape of volatility
Dave Hrencecin, Director of Quantitative Analysis – OptionsCity Software
John Churchill, VP of Sales – OptionsCity Software