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Parametric Models for VIX Option Smiles

Article Quant Q&A · Author: Mr Frog
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Summary

The document asks which parametric forms are commonly used to fit implied volatility smiles in VIX markets. It situates the question against SPX options, where the author says stochastic volatility-inspired and surface stochastic volatility-inspired forms are common, and references work by Gatheral and Jacquier.

No candidate VIX smile models, calibration method, data, or comparative results are supplied. The excerpt is therefore a focused research question rather than an explanation or recommendation. It identifies a gap between familiar SPX smile parameterizations and the corresponding conventions in VIX options, but readers would need additional sources to learn which forms are used in practice and how their performance or suitability differs.

Key ideas

  • The document asks about standard parametric representations for VIX implied volatility smiles.
  • It contrasts VIX markets with SPX markets, where SVI and SSVI forms are described as common.
  • No VIX-specific model family or calibration procedure is provided.
  • The excerpt offers no empirical comparison or conclusion about model choice.

Tags

VolatilityOptionsDerivatives pricing
Full text
# What are common parametric forms for VIX smiles?


# What are common parametric forms for VIX smiles?












It is common in SPX markets to fit smiles using Stochastic volatility-inspired and Surface stochastic volatility-inspired parametric forms introduced by Gatheral and Jacquier (2014). In VIX markets what are the most common parametric forms for the smiles?

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.