Fitter

• Super-fast and robust. Fit the whole US options universe on one box!
• Based on modern Bayesian ideas, superior numerics, and 30 years of trading and research. Robustness is achieved by transferring information across strikes, expiries and time (filtering).
• Uses unique set of flexible and intuitive curves (see Curves for details), allowing smooth and bias-free fits of all observed skews in the market.
• Adjust volatility surfaces between fits using proper spot-vol dynamics.
• The fitter can produce stable, arbitrage-free volatility surfaces even in the far wings, beyond the range of listed options, as required for the calibration of the various “SLVJ” models used for exotics and structured products.
• Output error bars derived from input bid-ask spreads quantify uncertainty in each fitted vol. For market makers, they serve as a natural “minimum edge” — if the market price is within the error band, there is no statistical confidence that edge exists.
• Graduated defense: when data quality degrades (stale quotes, exchange glitches, erratic markets), error bars widen automatically, making the system more conservative without hard kill switches.
• Battle-tested through the COVID crash (VIX > 80), GameStop short squeeze (500%+ IV), negative oil prices, and 0DTE — no manual intervention, no parameter tuning required. See examples.
• Handles 0DTE and daily expirations — where even small input errors produce large vol errors and the surface shape changes rapidly intraday.