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Market Inputs for Calibrating SABR to Vanilla Call Options

Article Quant Q&A · Author: dijoney J
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Summary

The document describes a practical problem in calibrating a SABR volatility model: the fitted volatility smile differs substantially from implied volatilities observed for S&P index calls. The question identifies the market inputs needed for the calibration, including the underlying level, risk-free rate, strikes, times to maturity, and Black–Scholes implied volatilities. It reports using option prices and implied volatility data from Yahoo Finance, but does not identify a more suitable data source or explain how the calibration was performed.

As presented, this is an unanswered request rather than a demonstrated data-sourcing method. It offers no market-data comparison, calibration results, or explanation for the smile discrepancy. The question does highlight that a model fit depends on obtaining consistent prices and reference inputs for the same underlying and option contracts. It leaves unresolved issues such as data quality, timestamps, rate conventions, and whether the observed quotes are sufficiently reliable for calibrating a volatility surface.

Key ideas

  • SABR calibration requires underlying prices, rates, strikes, maturities, and option-implied volatility inputs.
  • The question reports a mismatch between a calibrated smile and observed S&P index option implied volatility.
  • The document does not provide a market-data vendor recommendation or a calibration solution.
  • Consistent contract details, timestamps, and input conventions are essential concerns left open.

Tags

OptionsVolatilityDerivatives pricing
Full text
# Where to get market prices for Vanilla Call Options


# Where to get market prices for Vanilla Call Options












I have implemented a SABR(Stochastic Alpha, Beta, Rho) model. I am in the process of calibrating Alpha, Beta, Rho values as per market prices

Can someone suggest where can I get the actual market data for these

- r= #Risk­Free Interest Rate

- S0= #Asset Price

- IV_= #Black­Scholes Implied Vol

- K= #Strike Prices

- T= # time to maturity.

I tried using the "SPX" S&P Index call option prices and implied volatility from yahoo finance but my calibrated volatility smile was very different "SPX" option implied Vol.

Thanks in advance for your help on this.

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