The Swiss Army Knife of Option Analytics

Vola Dynamics provides analytics for options trading and risk management,
as well as portfolio, PnL, and scenario analysis. Since its founding in New York in 2016, it has quickly established itself as the only third-party vendor to provide top-tier market-maker-quality valuations for vanillas and vol derivatives. Its vol fitter is generally acknowledged to be the best in the industry, and its American option pricer (with proper handling of cash dividends, etc.) is probably the fastest available anywhere.

Vola’s analytics library produces easy-to-use, tradable, real-time volatility
curves and surfaces, that can match the most challenging markets in a sensible, arbitrage-free, and robust manner. Intuitive, parametric vol curves are the crucial ingredient in allowing efficient signal research. The accurate spot-vol dynamics available as part of the library gives better
Greeks and more realistic scenarios, among other benefits.

As a battle-tested easy-to-integrate solution in C++11 (with wrappers for Python, Java, and C#) for any platform, it is available at a fraction of the cost it would take to build and maintain a comparable system in-house (if possible at all), thereby eliminating one of the big barriers to entry in both the listed options market and derivatives markets more generally.

The founders, Timothy Klassen, Jiri Hoogland, and Misha Fomytskyi, have a combined 50+ years of experience in trading and modeling listed vanillas, as well as flow and exotic derivatives in all asset classes, at firms like Goldman Sachs, Morgan Stanley, and Getco. Timothy Klassen designed the ‘new VIX’ for the CBOE in 2003 (when at Goldman).

The pricing and fitting problem

A fundamental problem that Vola Dynamics solves for its clients is what is
often called the ‘volatility surface-fitting problem.’ It is one of the holy-grail problems of quantitative finance, especially, but not exclusively, in the equity markets.

It is nowadays really a complex of multiple, interconnected problems, all of
which contribute to the sizable barriers to entry that exist for derivatives markets these days, and arguably make the options market significantly less efficient and useful than it could be.

Recall that implied volatility surfaces (and borrow cost curves) are the standard concepts used to summarize the vanilla options market in an intuitive and compact manner. They provide the fundamental building blocks for trading and risk-managing vanillas (listed and OTC), as well as the foundation for flow and exotic products modeling and trading.

Here is a list of the main subproblems:

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