The Problem

Building a competitive options business is a daunting task. It requires fast and robust algorithms to imply borrow cost curves and volatility surfaces, accurate pricing with cash dividends, deep knowledge of market microstructure, and much more. Standard parametric models like SVI often fail during high-volatility events or binary events like earnings — they cannot fit complex structures such as W-shaped volatility smiles, leading to crossing curves, arbitrage, and automated trading losses at precisely the moments when stability matters most.

This is all table stakes. Every serious options firm must solve these problems, but solving them is not a source of alpha. There is no competitive edge in building a better fitter — the edge lies in what you do with it.

We realized it does not make sense for every firm to solve these hard problems independently. Many firms — from high-frequency traders to hedge funds and investment banks — have struggled to build competitive options businesses, and the difficulty of getting the analytics right is a significant part of that challenge. This idea gave rise to Vola Dynamics.

The Solution

With many years of hard-won domain knowledge, we figured out how to produce, in real time, arbitrage-free parametric volatility surfaces and implied borrows for even the hardest-to-fit names — SPX, SPY, and AAPL in equities, ES (E-mini) and CL (crude oil) in futures — suitable for high-frequency electronic trading as well as flow and structured products desks.

Our proprietary C* volatility curves go far beyond industry-standard approaches like SVI, SSVI, and SABR, enabling bias-free fits of all observed market shapes including W-shaped curves around earnings. See examples of fitted surfaces.

^* As of March 2026.

Vola Dynamics is not a black box. It integrates directly into existing trading infrastructure and is a force multiplier for quantitative teams — we handle the infrastructure so that quants and traders can focus on research, strategy, and execution where they actually have an edge.