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Uploaded DBK, AAPL pics of volsurface fits today. Aggregated fitting pics in their own folder.
"Trading realised variance using listed vanillas" recently published - see more and download here
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Structured Products

In the big scheme of things...

Posted by Alberto Cherubini - 17 Dec 2014
... this might matter less than oil price, no doubt. And yes, it's obscure... but a remarkable structural change is happening in vol-surfaces: the time-honoured "square root of T" rule of thumb for skew is another casualty of the "new normal". There are practical consequences, e.g. on structured products.

Options traders... the last of the perma-bears?

Posted by Alberto Cherubini - 30 Mar 2013
Let's dig a little deeper...

Implied Probabilities and Structured Products – a rational approach

Posted by Alberto Cherubini - 24 Mar 2013
The time honoured bookie's way - rocket scientists not needed.
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