Under the Surface

Not so many years ago, volatility surfaces were mostly the domain of equity index option traders, as few other markets offered the liquidity necessary for their construction. Their values were closely guarded secrets, not offered to the market and often only reluctantly shared across desks and with risk managers. Within them, traders could store honey pots for a rainy day, and quietly hide their mistakes.

Today, practices have changed considerably, and so have the challenges of storing and