Topic

#volatility

2 posts

Ferro SuiteMay 6, 20265 min read

SVI and the No-Arbitrage Volatility Surface

An implied-volatility surface is a deceptively small object: a function from log-moneyness and maturity to a single number. The trouble is that not every such function corresponds to a market. A surface that prices a …

MorphIQ Labs Research Notes#volatility#options#arbitrage#calibration

Quant ResearchApril 22, 20264 min read

Wavelet-Domain Regime Detection with the MODWT

"The market changed" is the kind of statement that is obviously true and almost useless. Changed how fast? Changed in the minute-scale chop, or in the multi-day trend? A single rolling volatility number cannot tell yo…

MorphIQ Labs · Quant research#regime-detection#wavelets#time-series#volatility