a test dataset of market IVs steep short term skews needed

tw813 · November 6th, 2017, 12:41 pm

Hi,

I want to test a IV model I recently established. The model aims to overcome one difficulty diffusion based models typically have in fitting market that exhibit steep short term skews. It will be greatly appreciated if someone can send me such a sample data set for my testing purposes, if that is available to him/her.

Thanks

TW813

Alan · November 6th, 2017, 8:20 pm

I don't have a set for you, but I have purchased from the cboe and the cost for what you are looking for is very modest: https://datashop.cboe.com/

a test dataset of market IVs steep short term skews needed

a test dataset of market IVs steep short term skews needed

Re: a test dataset of market IVs steep short term skews needed