Jeff Liang

Jeff Liang

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CEO and co-founder of http://Greeks.live, crypto option tools. https://t.me/greekslive . Opinions are my own and not financial advise.

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Pretty good analysis. Local Vol is a distribution map of deterministic spatiotemporal volatility hidden beneath Black-Scholes implied volatility; it's one of the earliest surface models. twitter.com/JeffLia12309881/st...

In the dynamic study of volatility smiles, the following information is closely related and interconnected: Implied Vol is the path average of Local Vol. The slope of the Implied Vol surface is half that of Local Vol. ATM Implied Vol = ATM Local Vol. The regression coefficient of ATM Implied Vol under Local Vol on Ln F is twice the slope of the Implied Vol surface, i.e., the Rule of Two. Bergeomi 2009 SSR (Skew Sticky Ratio), 2/1/0 Sepp 2014 Skewbeta, 2/1/0 Heuristic Sticky Regimes: Sticky Local Vol Sticky Strike Sticky Delta It is said that in volatility trading, a thousand people will have a thousand different Deltas, which is also related to the above information. This is because implied volatility depends on spot/forward F.

I'm reading a popular science article about volatility smiles. There are two mistakes in one formula (if I'm not mistaken, please correct me if I'm wrong).

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