volatility curves

Vola Dynamics

Intuitive. Fast. Robust.

Industry-leading options analytics.

Battle-tested

For vanillas and vol derivatives (including VIX, var & vol swaps)

For any asset class

Trusted by the world's best 

And many others...

Why Vola?

  • Do you need a 100x faster, robust & accurate American option pricer for valuation and greeks?
  • Do you need a robust, real-time borrow and volatility fitter for electronic trading?
  • Do you need stable, arbitrage-free volatility surfaces to feed into your local vol, "SLV", or "rough volatility" models?
  • Do you need a better understanding of volatility dynamics?
  • Do you need to catch up on market-microstructure and the exchange landscape?
  • Are you designing a new options trading system?
auto fa   = makeFactoryAnalytics();
auto fp   = std::string("AEX_20160622-160000.000-CET_ocpf-eq.json.gz"); // serialized price fitter
auto ocpf = fa->makeOptionChainPricerFitterEquity(fp);         // create fitter from serialized instance
auto oc   = ocpf->optionChain();                               // the option chain with contract information
auto ps   = ocpf->priceSnapshot();                             // price snapshot with price information
auto vcts = VecVCT{ VCT::C6, VCT::C10M };                      // curve type to use for fitting prices
auto rf   = ocpf->fit(ps, vcts);                               // fit price snapshot
auto vs   = rf->volSurface();                                  // use the volsurface for pricing
auto ocp  = fa->makeOptionChainPricerEquity(oc, vs)            // create pricer
auto rp   = ocp->price();                                      // compute prices and greeks for all options in the option chain

Features

Vola Dynamics offers the world's leading options pricer and volatility fitter.

  • Flexible & Intuitive

    Trade any equity, ETF, futures, or index options off auto-fitted curves and/or easily create your own. Price and hedge vol derivatives consistent with vanillas.

  • Robust & Fast

    Relying on decades worth of research and trading, implemented in a modern Bayesian framework, using superior numerics. Automated trading even around high vol/opportunity events.

  • Cost-Effective & Easy Integration

    Drop-in replacement for the critical pricer and fitter components of your infrastructure (C++, Python, Java, C#).

Products

Vola Pricer

  • Super-fast and robust pricing of European and American vanillas, with accurate handling of cash dividends.
  • Prices the whole US options universe on one box in a fraction of a second (without a table method!).
  • Choice of several dividend pricing models that make sense and are actually used by the most successful options trading firms (not available from vendors).
  • Covers options on stocks, ETFs, futures, and indices.
  • Handles large borrow costs and any number of cash dividends.
  • Has all greeks: delta, gamma, vega, volga, vanna, rho, rhoBorrow, theta, fugit.
  • Fast and accurate implied vol calculation for any dividend model.

Greeks as a Function of Strike

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Trusted by Experts

Our clients trust Vola Dynamics to maintain their core valuation and risk analytics (pricing, greeks, volatility surface fitting, scenario analysis) for equity, futures and index options.

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