Vol Practitioners: What’s Your Preferred IV Surface?
Currently building a client-facing IV surface and practitioner input would be incredibly helpful.
*1. What coordinate system do you use for your surface and why?*
Examples:
\- Strike
\- Delta
\- Log-moneyness
\- Forward log-moneyness
\- Standardized or not
\- Something else
*2. What surface controls have you/users actually found valuable?*
Examples:
\- Smoothing strength
\- Knot density
\- Interpolation method
\- Arbitrage enforcement settings
\- Point-wise vs fitted views
Are there controls you’ve exposed that see meaningful use, or controls you wish vendor platforms offered?
*3. How do you handle persistent arbitrageable structure in market data?*
Do you:
\- Remove it completely through no-arbitrage constraints?
\- Smooth toward an arbitrage-free surface while preserving as much market structure as possible?
\- Maintain separate market and model surfaces?
\- Something else?
How important is preserving market faithfulness versus enforcing a clean arbitrage-free representation?
*4. When computing Greeks from a fitted surface, what surface dynamics do you assume?*
\- Sticky strike, sticky delta dynamics, or something else?
Interested in hearing both buy-side and sell-side perspectives across use cases and rationale.
Thanks in advance.