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Model volatility surface anomalies by comparing SABR calibration with Dupire local vol to monitor skew, term structure, and surface dynamics. This identifies arbitrage and skew trading opportunities by exploiting surface dislocations in liquid underlyings like China A-share ETFs.

Monitor vega, gamma, and vanna exposures while applying delta hedge frequency rules for options market making. Maintain inventory and skew limits alongside margin buffers to manage Greek imbalances and control risk across quoting activities.

Deploy calendar spreads and skew trades by analyzing volatility surface dislocations and Greek exposures. Use risk reversals, butterflies, and arbitrage straddles while enforcing risk-control thresholds for gamma scalping and spread management.

Yes, SABR calibration and Dupire local vol are supported for China A-share ETF options. Compare both models to monitor skew, term structure, and surface dynamics, enabling arbitrage, skew trading, and market making insights across these markets.

Risk-control thresholds for gamma scalping and skew trades require maintaining inventory limits, skew limits, and margin buffers. Apply delta hedge frequency rules and monitor vanna exposures to manage Greek imbalances during market making or directional trades.

Volatility surface modeling moves beyond basic covered-call or protective-put tactics by exploiting surface dislocations and Greek imbalances. It enables structured derivatives strategies like calendar spreads, volatility arbitrage straddles, and disciplined market-making quotes.