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TOS Volatility Smile Accuracy

Discussion in 'OptionNET Explorer' started by Al G., Jan 5, 2016.

  1. Al G.

    Al G. Well-Known Member

    Yesterday and Today the TOS Volatility Smile seems to be off when looking at a Butterfly has anyone else observed this?
     
  2. Andrew C

    Andrew C Well-Known Member

    What are you comparing it to....OV? Since I do not use OV, someone else will have to answer.

    That said, I did notice something very strange yesterday and today.....TOS Vol Smile seemed to be almost the same as the Individual Implied Vol model.
     
  3. Al G.

    Al G. Well-Known Member

    Exactly, the tos vol smile was almost identical to individual model, which in my experience is not the case for a butterfly otm.
     
  4. Andrei

    Andrei Well-Known Member

    I noticed it as well. I assumed it was due to a general increase in Vol.
     
  5. Andrew C

    Andrew C Well-Known Member

    Today, I found them to be different again. Go figure. My guess is that either they had a technical issue on Tuesday and Wednesday or it was a coincidence due to the increase in vol yesterday.
     

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