Vola Fitter

• Super-fast and robust. Fits 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.