What asset classes does Vola Dynamics support?

Vola Dynamics supports options on equities, ETFs, indices, futures (including commodity, treasury, and equity index futures), and foreign exchange. The library has been used in production for US, European, and Asian markets including SPX, SPY, AEX, KOSPI, Nikkei, Hang Seng, crude oil, treasury futures, and cryptocurrency options.

How does Vola Dynamics compare to SVI and SABR?

Vola Dynamics' proprietary C* volatility curves go far beyond industry-standard approaches like SVI, SSVI, and SABR. These curves produce dramatically better fits while maintaining full arbitrage freedom, even during extreme market conditions like the COVID crash or earnings events.

Can Vola Dynamics handle earnings events?

Yes. Standard parametric models like SVI often fail during binary events like earnings because they cannot fit complex structures such as W-shaped volatility smiles. Vola's C* curves handle all observed market shapes including W-shaped curves around earnings, producing stable, arbitrage-free fits.

GOOG · 21 Jul 2025 vol

A Complete Quant Stack

Our Product Suite

Core Analytics

Pricer

Vola Dynamics Pricer — super-fast and robust pricing of European and American vanillas, with accurate handling of cash dividends. Full Greeks including delta, gamma, vega, volga, vanna, rho, and theta.

Fitter

Vola Dynamics Fitter produces stable, arbitrage-free volatility surfaces using Bayesian methods. Fits the entire US options universe on one box — equities, ETFs, indices, and futures.

Curves

Vola Dynamics Curves — intuitive and flexible parametric vol curves, way beyond simple curves like SABR, SSVI, and SVI. Bias-free fits of all observed market vol shapes including W-shaped curves around earnings.

Optional Modules

PnL Explanation

Vola Dynamics PnL Explanation module decomposes profit and loss for vanilla and volatility derivatives into ATM-forward, skew, and curvature components using Greeks or scenarios.

Vol Derivatives

Vola Dynamics Vol Derivatives — fast pricing of var and vol swaps (capped or uncapped), options on var and vol, and corridor/conditional variance. Consistent hedging with vanillas under shared spot-vol dynamics.

VIX Pricer

Vola Dynamics VIX Pricer — VIX future valuation based on SPX and VIX vol surfaces. VIX futures Greeks with respect to SPX (BS or adjusted with spot-vol dynamics).

Discount Curve Fitter

Vola Dynamics Discount Curve Fitter — imply the discount curve used by the options market from index option prices, using one or more snapshots. Handles general term-structure shapes including inverted yield curves.

Div Fitter

Vola Dynamics Dividend Fitter — imply cash dividend amounts consistent with market prices. Detect market dividend moves and backfill historical data.

Event Var Fitter

Vola Dynamics Event Variance Fitter — calibrate the additional event variance associated with earnings, elections, and other events. Important for accurate American option pricing and trading strategies.

Event Modeling

Vola Dynamics Event Modeling — given a dirty vol surface, calibrate its decomposition into event jumps and a clean vol surface, and vice versa. For earnings, FOMC, elections, and other scheduled events.

FX Module

Vola Dynamics FX Module — handles all FX-specific conventions for delta, premium type, and ATM/risk-reversal/butterfly definitions.

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