About this document
Delta-Based Implied Volatility Surface by Shirley Xin is a document available to read on EtoBox.
The document describes the methodology used by IVolatility.com to build an implied volatility surface by delta. The surface smooths raw implied volatility data using a parameterized curve for each expiry, then builds a surface of implied volatility as a function of period to expiry and delta. The surface provides implied volatility values for standard expiries and deltas to allow for standardized analysis across stocks and over time. Building the surface in terms of delta rather than moneyness provides a mo
- Author
- Shirley Xin
- Language
- EN