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Fitted volatility surface

The Market Standard in Options Analytics.

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SPX during COVID · 16 Mar 2020 · 10:30 ET

Total variance · no calendar arbitrage

Examples: Equities, Indices & Futures

Can Your Fitter Do This? Next Generation Curves AEX around Brexit AMZN around earnings SPX during the 2020 COVID Crash Asian Indices Commodity Futures Options Treasury Futures Options

For Vanillas & vol derivatives (VIX, var, vol swaps)

Institutional Options Analytics

Any underlier Any asset class Any market
All Options Capstone HAP Capital Garda Capital Partners Maven Squarepoint Capital Vontobel Pictet Asset Management Prime Trading Man Group iSAM Picton

And 40+ other institutional options trading desks.

Institutional clients
~50
Client AUM
>$900B *
Founded
2016

* As of April 2026.

A Complete Volatility and Pricing Infrastructure

The surface informs pricing, pricing determines Greeks, Greeks drive hedging and PnL — and at every step, the requirements are in tension. Accurate and fast. Smooth and flexible. Robust and arbitrage-free.

  • Proper spot-vol dynamics

    e.g. via "SSR", is integrated throughout, for accurate "smart" delta and gamma, realistic spot scenarios (incl. overnight), and temporal smoothing without bias.

  • Bias-free fits of arbitrary market vol shapes including W-shapes

    Fit even the most liquid names like SPX, SPY, ES, NVDA, TSLA, etc, including around events or periods of market turmoil.

  • Intuitive and flexible parametric curves

    Way beyond simple curves like SABR, SSVI, SVI (which are also available).

  • Cash dividend & forward modeling

    Accurate and flexible, including "blending schemes", large borrows (HTB), funding curves, etc.

  • Implied borrow, forward and vol calculations

    Fast, accurate and robust for any dividend model.

  • All greeks

    Delta, gamma, vega, volga, vanna, rho, rhoBorrow, rhoDiv, thetas (with regard to rate or vol time), fugit.

  • Flexible temporal filtering and priors

    Allow intuitive stabilization of vol surfaces even if data become very sparse over extended periods.

  • Vol surface shape transformations

    Universal and intuitive across all curve types. Extend vol surfaces beyond listed expiries, or proxy to other names, etc.

  • Subtleties for modern markets

    Rate term-structure pricing, vol-time, events, and settlement effects.

See how firms use Vola's institutional options analytics.

Supported directly by the quants who build it.

Beyond SVI & SABR

  • Flexible & Intuitive

    Trade any index, ETF/stock, or futures options in any asset class (equity or FICC) off auto-fitted and/or easily adjusted surfaces.

  • Robust & Fast

    Ultrafast market-maker-quality valuations and vol surfaces.

  • Easy Integration

    Drop-in replacement for critical pricing and fitting infrastructure (C++, Python, Java, C#).

Built for options desks

Volatility Fitting & Options Pricing

  • Ultrafast, robust options pricing with full Greeks
  • Real-time borrow implication and volatility fitting for electronic trading
  • Stable, arbitrage-free vol surfaces to feed into your local vol or stochastic local vol model
C++PythonJavaC#
auto fa   = makeFactoryAnalytics();
auto fp   = std::string("AEX_20160622-160000.000-CET_ocpf-eq.json.gz"); // serialized price fitter
auto ocpf = fa->makeOptionChainPricerFitterEquity(fp);         // create fitter from serialized instance
auto oc   = ocpf->optionChain();                               // the option chain with contract information
auto ps   = ocpf->priceSnapshot();                             // price snapshot with price information
auto vcts = VecVCT{ VCT::C6, VCT::C10M };                      // curve type to use for fitting vols
auto rf   = ocpf->fit(ps, vcts);                               // fit price snapshot
auto vs   = rf->volSurface();                                  // use the volsurface for pricing
auto ocp  = fa->makeOptionChainPricerEquity(oc, vs)            // create pricer
auto rp   = ocp->price();                                      // compute prices and greeks for all options in the option chain
  • C++
  • Python
  • Java
  • C#
  • Windows
  • Linux
  • OSX

Vol Surfaces, Greeks, PnL, Events & More

Trusted by Market Makers, Hedge Funds & Tier 1 Banks

Core valuation and risk analytics for equity, futures, and index options.

  • Your vol curves work like magic.
    Quant trader @ Major European hedge fund
  • Impressive library vastly superior to any other vendor product.
    PM @ New York hedge fund
  • Vola Dynamics has significantly improved our volatility fitting, particularly in handling earnings and dividend events. Their robust approach has enhanced our trading strategies and risk management capabilities.
    Senior Quant @ Swiss investment group

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