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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.
Real Time Implied Volatility Surfaces: A Practitioner's View of the Black Arts
The most comprehensive overview of Vola's approach to vol surface fitting — C-curve design, no-arb constraints, error bars, and where standard approaches like SVI break down.
Thetas and Time Conventions in the Vola Library
How Vola handles theta computation across calendar vs. trading day conventions, and why it matters for P&L attribution and 0DTE strategies.
Read post →Timothy Klassen, CEO and Founder, on Vola's Offerings and Founding
Tim Klassen discusses founding Vola, the product suite, and how the company grew to serve ~50 of the world's most sophisticated options trading firms.
State of the Smile: The Ever-Surprising Evolution of the Equity Options Market
How the equity options market has evolved in surprising ways — the 0DTE explosion, weekly options proliferation, changing skew dynamics — and how Vola's ~50 institutional clients navigate these shifts.
Vola Dynamics' Greatest Hits
A curated roundup of Vola's most popular published content — market analyses, technical insights, and industry commentary.
Read post →What is an Implied Volatility Surface?
Misha Fomytskyi explains implied vol as an engineering trick — not one Black-Scholes model but a sequence of models, one per strike. Option prices, implied vols, and probability densities are three representations of the same information. Errors in vol space propagate directly into pricing, Greeks, and hedge ratios.
Watch on YouTube →Thetas and Time Conventions
Why theta is "the most important Greek" — vol-time theta (convexity decay) and calendar-time theta (rate accrual) are not fungible. A straddle has mostly vol-time theta; a box has only calendar-time theta. Covers PDE-based calculation, time conventions, and the 0DTE theta challenge.
Watch on YouTube →PnL Attribution by Greeks
Greek-based PnL decomposition using smart greeks with spot-vol dynamics. Using BS greeks leaks spot PnL into vega and vice versa — adjusted greeks produce a cleaner decomposition. Covers the double-counting risk when combining delta and vega adjustments.
Watch on YouTube →PnL Attribution by Factors
Scenario-based PnL attribution: exact re-pricing under spot, vol, time, rate, and model shifts — no Taylor approximation. Factor-by-factor methodology, vol surface comparison subtleties, and why permuting factor order and averaging destroys the unexplained residual that serves as your most powerful diagnostic.
Watch on YouTube →Spot-Vol Dynamics and the Skew Stickiness Ratio
Why sticky-strike is wrong — Bruno Dupire proved in 2003 that it is internally inconsistent. When spot moves, ATM vol moves on a path steeper than the skew itself. Introduces the Skew Stickiness Ratio (SSR) as a principled synthesis, formalized by Lorenzo Bergomi in 2009.
Watch on YouTube →Calibrating the Skew Stickiness Ratio
Part 2 on spot-vol dynamics. How calibration time horizon matters: intraday returns capture mechanical market-maker quoting updates, close-to-close returns capture slower institutional views. Three practical calibration recipes — from yesterday's intraday data to hard-coding a reasonable value — all outperform Black-Scholes deltas.
Watch on YouTube →Event Variance Fitter
How events like earnings and FOMC cause ATM vol spikes and negative curvature. The Event Variance Fitter smooths the term structure by calibrating event variance into a time converter — improving American option pricing, cross-name vol comparison, and PCA/term structure models.
Watch on YouTube →Event Modeling: Decomposing Volatility Surfaces Around Events
Decomposing dirty vol surfaces into clean (diffusive) surfaces plus discrete event jumps with calibrated probabilities and sizes. Two workflows — project dirty from clean (is the market over/underpricing the event?), or extract clean from dirty. Covers the two-limits framework and why W-shapes arise from the interaction of bimodal jumps with skewed clean vol.
Watch on YouTube →An oral history of the fear index
FT Alphaville feature on the history of the VIX. Tim Klassen, who co-designed the VIX methodology at Goldman Sachs, is a primary source.
Read article →The Swiss Army Knife of Options Analytics
Wilmott Magazine profile covering Tim Klassen's path from Columbia PhD to Goldman Sachs to founding Vola, the company's infrastructure philosophy, and client adoption.
View PDF →Innovators Pavilion 2016 – Where are they now?
FIA follow-up on the 2016 Innovators Pavilion cohort, tracking Vola's growth from early-stage startup to established institutional infrastructure provider.
Read article →Vola was at the GVS 2019
Vola exhibited at the Global Volatility Summit, one of the premier annual events for institutional volatility investors.
View event →How S&P 500 options may be used to manipulate VIX 'fear gauge'
MarketWatch article on potential VIX manipulation. Tim Klassen is quoted as an expert, drawing on his experience co-designing the VIX methodology.
Read article →18 Startups Bringing New Products and Services to the Derivatives Markets
FIA's profile of 18 startups selected for the 2016 Innovators Pavilion at FIA Expo, where Vola (then Volar Technologies) was named FIA Innovator 2016.
Read article →Vola Dynamics' Greatest Hits
A curated roundup of Vola's most popular published content.
Read post →GameStop options trading during the short squeeze
How Vola's fitter handled the GME short squeeze — stable fits with implied vol exceeding 500% and extreme skew, when many in-house systems broke down.
Read post →SPX vol surfaces during the 2020 Coronavirus Crash
Published during the March 2020 crash itself — Vola's fitter maintaining stable fits as VIX spiked above 80 and term structures inverted, with no manual intervention.
Read post →Spot-Vol Dynamics and Deltas for SPX Options
How the empirical spot-vol relationship affects delta hedging for SPX options, including the minimum-variance delta correction and its P&L impact for market makers.
AAPL, FB vol curves around earnings
Apple and Facebook vol curves before and after earnings — the "vol crush" phenomenon and how Vola's multi-modal C10m curve captures the W-shaped smiles around binary events.
Read post →The Global Volatility Summit New York happens on March 13, 2019
Announcement of Vola's attendance at GVS 2019 in New York.
Read post →Pot is hot: Having fun with TLRY options and borrows
Tilray options during the cannabis mania — extracting the enormous implied borrow cost via put-call parity, revealing short-selling pressure the stock lending market doesn't show directly.
Read post →The option market thinks there is a 16% chance that Tesla will not exist in January 2020
Using Vola's fitted surfaces to extract what Tesla options implied about the probability of extreme downside scenarios, including near-zero stock price.
Read post →The option market thinks there is a 16% chance that Tesla will not exist in January 2020 (part 2)
Follow-up with deeper analysis across expiries and discussion of risk-neutral vs. physical probabilities.
Read post →Volatility Surface Fitting Buy vs Build
The case for buying vol surface infrastructure rather than building it in-house — the problem is harder than it looks, the maintenance never stops, and quant time is better spent on alpha.
Read post →The Most Interesting Volsurface in the World
The AEX (Amsterdam) index around the Brexit referendum — dramatic W-shaped vol curves with distinct Leave/Remain scenarios, fitted with Vola's multi-modal C10m curve using default settings.
Read post →Vol Dynamics Releases Vol Derivatives Module
Release announcement for Vola's Vol Derivatives module — VIX futures and options, variance swaps, and volatility swaps — three months after the February 2018 "Volmageddon" event.
Read post →How does a Bitcoin volatility curve look like?
An early look at Bitcoin vol curves during the 2017 bull run — more symmetric smiles, much higher absolute vol levels, and how Vola's fitting technology is asset-class agnostic.
Read post →Are you in the options business -- then ask yourself these questions
Diagnostic questions for options professionals to evaluate the quality of their vol surface infrastructure.
Read post →"Your Curves work like magic"
Why Vola's C-curves appear to "work like magic" — the right balance between flexibility and parsimony, proper data weighting, and no-arb constraints as natural regularization.
Read post →How can we extend the success of the VIX to the whole equity options market
Written by Tim Klassen, who co-designed the VIX. Argues that the VIX's success creating a standardized volatility measure should extend to the full equity options universe.
Valuing options on leveraged ETFs
The unique challenges of pricing options on leveraged ETFs — vol scaling by the leverage factor, mechanically linked skew, and volatility drag from daily rebalancing.
Read post →How dividends impact options greeks
How discrete cash dividends affect options Greeks — one of the most common and consequential errors in equity options pricing. Directly informs Vola's Div Fitter module.
Read post →Navigating New Waters of Extreme Change in Quant Finance
Podcast on how unprecedented market events have changed the landscape for quant finance practitioners, and why robust analytical infrastructure matters more than ever.
Timothy Klassen, CEO and Founder, on Vola's Offerings and Founding
Tim Klassen covers Vola's founding story, product suite, library delivery model, and positioning as infrastructure for institutional options analytics.
Misha Fomytskyi's appearance on AD Derivatives' Podcast
Vola co-founder Misha Fomytskyi discusses how Vola's asset-class-agnostic fitting technology applies to the growing crypto options market.
Real Time Implied Volatility Surfaces: A Practitioner's View of the Black Arts
The full lifecycle of vol surface construction — what surfaces are, why they matter, no-arb requirements, C-curve families, output error bars as "minimum edge," and where SVI breaks down.
Secrets of the Implied Volatility Surface: Inferring Rates, Dividends, Events, and Risk-Neutral Densities from Options Prices
Vol surfaces contain far more than just volatility: implied dividends, interest rates, event risk, and full risk-neutral distributions. Uses the COVID crash as an extended case study.
State of the Smile: The Ever-Surprising Evolution of the Equity Options Market
How the equity options market has evolved — 0DTE explosion, weekly options expansion, flatter short-dated skew — with client segmentation showing how different firm types use Vola differently.
Robust Options Valuation and Risk Management Workflows with Vola Dynamics Analytics
Building production options workflows that don't break when data gets noisy. Introduces output error bars as a graduated defense mechanism — more sophisticated than hard kill switches.
Optimal Portfolio Construction and Risk Premia in Options Markets
How well-fitted vol surfaces serve as the foundation for systematic options strategies — vol risk premium extraction, skew trading, calendar spread relative value, and dispersion.
Navigating New Waters of Extreme Change in Quant Finance
How unprecedented market events have changed the quantitative finance landscape and why robust analytical infrastructure is increasingly essential.
The New World of Options Trading: Valuation, Risk and Robust Workflows
How post-2020 market conditions require new approaches to options valuation, risk management, and production workflow design.
Tools for Options Trading in a Crazy World
COVID crash, negative oil, GameStop — Vola's fitter maintained stable surfaces through all of it with no manual intervention. Systems that need babysitting during crises have failed at their core purpose.
Tools for Options Trading in the New World - A Report from the Cutting Edge
First-hand account of how Vola's systems performed during the COVID crisis, delivered eight months after the crash.
View conference →Arbitrage-Free Parametric Implied Volatility Surfaces and Real-Time Fitting
One of Vola's earliest conference presentations — introducing C-curve families, calendar arb enforcement, real-time fitting, and comparison with SVI.
Relevant for Vola Dynamics Software Solutions
Pricing Vanilla Options with Cash Dividends
The mathematical framework for European option pricing with discrete cash dividends — the foundation for Vola's Div Fitter module.
View paper →Necessary and Sufficient No-Arbitrage Conditions for the SSVI/S3 Volatility Curve
Exact conditions for butterfly-arbitrage freedom in SSVI — the parameterization developed by Jim Gatheral, Vola's advisor. Also highlights why Vola's C-curves sidestep this problem entirely.
View paper →Earlier Articles about Pricing Models and Algorithms
Simple, Fast and Flexible Pricing of Asian Options
Efficient algorithms for pricing Asian (average-rate) options. Part of the foundational computational work behind Vola's Pricer.
View paper →Pricing Variance Swaps with Cash Dividends
How discrete dividends affect variance swap pricing and VIX computation. Implemented in Vola's Vol Derivatives and VIX Pricer modules.
View paper →Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk
Symmetry relationships in jump-diffusion models applied to option pricing and credit risk — the physics-to-finance approach characteristic of Vola's founding team.
View paper →Scaling Invariance and Contingent Claim Pricing
Scaling invariance — a symmetry from mathematical physics — applied to European option pricing, revealing model-independent relationships between option prices.
View paper →Scaling Invariance and Contingent Claim Pricing II: Path-Dependent Contingent Claims
Extends scaling invariance to path-dependent options — Asian, barrier, lookback, and other exotics.
View paper →Asians and Cash Dividends: Exploiting Symmetries in Pricing Theory
Combines Asian options and discrete cash dividends using symmetry techniques — a combination that arises naturally in structured products.
View paper →Tradable Schemes
Numerical methods that automatically preserve no-arbitrage — the philosophy of enforcing constraints within the methodology rather than checking after the fact.
View paper →Converting the Reset
Pricing of reset options using symmetry and transformation techniques. Reset features appear in structured products, convertible bonds, and warrant issues.
View paper →