LEARN TO CALCULATE VOLATILITY SURFACE

FactSet's Implied Volatility Surface calculation methodology aims to provide an accurate parameterized representation of market implied volatility skews, allowing continuous results to be calculated for a theoretical option with any strike or maturity.

Download this white paper and learn more about our four-part process for calculating volatility surface:

1. Fetching data and applying filters
2. Calculating ATM IV for each maturity
3. Connecting put/call skews
4. Estimating regression parameters

Complete the form to download our white paper: Implied Volatility Surface.