Volatility Surface Construction and Analysis
CommunityCalibrate and validate option vol surfaces.
Authorbrainbytes-dev
Version1.0.0
Installs0
System Documentation
What problem does it solve?
Constructing and calibrating reliable implied volatility surfaces is complex and error-prone; this skill provides a structured framework to fit SVI/SSVI or SABR models to market IVs, check for static and calendar arbitrage, and generate a usable surface for hedging and pricing.
Core Features & Use Cases
- SVI/SSVI and SABR calibration to market IV quotes
- Arbitrage detection (butterfly and calendar spread) and diagnostics
- Surface dynamics analysis (sticky strike vs sticky delta) and hedging implications
- Output of a calibrated vol surface with diagnostics for portfolio pricing and risk management
- Use case: calibrate SPX options surface and analyze hedging performance
Quick Start
Provide market IV quotes to calibrate the vol surface and generate a calibrated surface with diagnostics.
Dependency Matrix
Required Modules
None requiredComponents
Standard package💻 Claude Code Installation
Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.
Please help me install this Skill: Name: Volatility Surface Construction and Analysis Download link: https://github.com/brainbytes-dev/everything-claude-trading/archive/main.zip#volatility-surface-construction-and-analysis Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
Agent Skills Search Helper
Install a tiny helper to your Agent, search and equip skill from 471,000+ vetted skills library on demand.