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The Vola Dynamics team is at the cutting edge of research in dividend and volatility surface modeling, volatility dynamics, and the design of super-fast and robust pricing and calibration algorithms.
Most of our research is available exclusively to clients.
Top Links
Real Time Implied Volatility Surfaces: A Practitioner's View of the Black Arts
Thetas and Time Conventions in the Vola Library
Read post →Timothy Klassen, CEO and Founder, on Vola's Offerings and Founding
State of the Smile: The Ever-Surprising Evolution of the Equity Options Market
Vola Dynamics' Greatest Hits
Read post →Press Coverage
An oral history of the fear index
Read article →Innovators Pavilion 2016 – Where are they now?
Read article →Vola was at the GVS 2019
View event →How S&P 500 options may be used to manipulate VIX 'fear gauge'
Read article →18 Startups Bringing New Products and Services to the Derivatives Markets
Read article →Blog & Insights
Vola Dynamics' Greatest Hits
Read post →GameStop options trading during the short squeeze
Read post →SPX vol surfaces during the 2020 Coronavirus Crash
Read post →Spot-Vol Dynamics and Deltas for SPX Options
AAPL, FB vol curves around earnings
Read post →The Global Volatility Summit New York happens on March 13, 2019
Read post →Pot is hot: Having fun with TLRY options and borrows
Read post →The option market thinks there is a 16% chance that Tesla will not exist in January 2020
Read post →The option market thinks there is a 16% chance that Tesla will not exist in January 2020 (part 2)
Read post →Volatility Surface Fitting Buy vs Build
Read post →The Most Interesting Volsurface in the World
Read post →Vol Dynamics Releases Vol Derivatives Module
Read post →How does a Bitcoin volatility curve look like?
Read post →Are you in the options business -- then ask yourself these questions
Read post →"Your Curves work like magic"
Read post →How can we extend the success of the VIX to the whole equity options market
TABB piece on the history of volatility modeling among OMM
Valuing options on leveraged ETFs
Read post →How dividends impact options greeks
Read post →Video Content
Navigating New Waters of Extreme Change in Quant Finance
Timothy Klassen, CEO and Founder, on Vola's Offerings and Founding
Misha Fomytskyi's appearance on AD Derivatives' Podcast
Presentations
Real Time Implied Volatility Surfaces: A Practitioner's View of the Black Arts
Secrets of the Implied Volatility Surface: Inferring Rates, Dividends, Events, and Risk-Neutral Densities from Options Prices
State of the Smile: The Ever-Surprising Evolution of the Equity Options Market
Robust Options Valuation and Risk Management Workflows with Vola Dynamics Analytics
Optimal Portfolio Construction and Risk Premia in Options Markets
Navigating New Waters of Extreme Change in Quant Finance
The New World of Options Trading: Valuation, Risk and Robust Workflows
Tools for Options Trading in a Crazy World
Tools for Options Trading in the New World - A Report from the Cutting Edge
View conference →Arbitrage-Free Parametric Implied Volatility Surfaces and Real-Time Fitting
Equity Implied Vols for All, Part 2: Implied Volatility Curve Design and Fitting
View presentation →High Performance Options Analytics and Volatility Modeling
View presentation →Equity Implied Vols for All, Part 1: Pricing with Cash Dividends
View presentation →Research Publications