Index options · India · eSSVI · QA
Project Vol Indices
Institutionalise daily surface checks so structurers catch breaks before risk does.
Context
The desk traded complex structures off a vendor surface; breaks appeared episodically and were blamed on data rather than parametrisation.
Approach
- Define pass/fail rules for butterfly and calendar no-arbitrage bands.
- Fit eSSVI with penalties on wing oscillation; log violations with screenshots of offending slices.
- Handoff runbook for overnight batch and manual overrides.
Outcomes
- Automated morning brief with ranked anomalies.
- Documented escalation path from quant to trader to risk.
Tools & stack
Python · eSSVI · Vendor vol feeds