vol surface check

wpjwpjgg · January 4th, 2012, 11:37 pm

hi Guys,When you have the vol curves for thousands of options, how do you check if the vol cube looks good? If there's only several names I can just check them by looking at them, but now there are tons of them, can you give me some method or algos to check the vol curve?thanks

kcross · January 5th, 2012, 1:23 pm

check to see if vol gives market price...

wpjwpjgg · January 5th, 2012, 1:30 pm

my project seems tricky: just to check if the vol surface make sense, and actually...all my options market prices are gone.What would you do then?thx

rmax · January 5th, 2012, 1:59 pm

Check for spikes in the cube? See what the interval gaps are etc???? Max/Min values. -ve Vols?

ThinkDifferent · January 6th, 2012, 6:28 pm

what do you mean by "vol cube looks good"? if you mean arbitrage free, then there are three types of arbitrage to check for. what is a good vol surface?