Editing Volatility Skew Parameters
The Volatility Skew parameters dialog box can be divided into two sections:
the curve definition, and the
curve calculation. Parameters Editing can occur in both sections. Editing the definition
changes the elements that “participate” in the curve calculation. These elements include call and put input lines,
particular option expirations, and rollover and extend features. Typically, these
elements are not edited; however, if you can edit these elements.
Editing the curve calculation changes the techniques used to fit the curve to
the input lines, and how the curve moves with the market (base volatility). Let
’s take a look how to edit the curve calculation section.