SMI Volatility Skews · Volafinder

ABBN52.10

ALC82.60

CFR138.50

GEBN615.00

GIVN4'120

HOLN92.30

KNIN218.60

LOGN88.40

LONN585.40

NESN84.71

NOVN96.42

PGHN1'195

ROG245.30

SCMN542.00

SGSN92.10

SIKA232.00

SLHN810.50

SREN132.70

UBSG28.90

ZURN545.00

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NESNspot 84.71 CHFupdated 02 Jul 26, 10:47

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Fit statistics

MAE surf

0.29%

MAE ATM

0.06%

N opts

155

Fit

Weighting Type: VegaCapped
Weighted Fit: true
Custom Mid Weight: 0.5
Minimal Sigma: 0.4
Min Forward Vol For Fit: 0.05
Use Stored Skew And Curvature Parameters: false
Use Synthetic Vols: true

Penalties

Additional Skew: 0
Additional Convexity: 1
Cross Penalty: 1
Shape Penalty: 0

Cutoffs

Vol Spread Cutoff: 0.3
Price Spread Std Dev Cutoff: 1.5
Obs Lower Limit Std Dev: -6
Obs Upper Limit Std Dev: 6
Keep Min Price: true

Forward

Use Forward Correction: true
Correct Strike Arbitrage: true
Forward Correction Strikes: 3
Ten Year Vol Factor: 0.95

Expiries

Expiry Extrapolation Years: 7
Compute Atm Vol For Excluded Expiry: true
Excluded Expiries: [2]