An arbitrage-free surface fitted to the public book, published alongside how wrong it is. No key, no vendor feed, nothing you cannot recompute. The rest of this category ships a picture and a footnote saying the numbers are estimates.
Our arbitrage-checked curve against the venue's own marks, inside the quoted spread. Where the orange sits outside the grey band, the venue is marking a price you could not trade at.
Our fitted volatility interpolated at the forward, one point per listed expiry. A hollow point failed a no-arbitrage check and comes from the backbone instead of the refined slice, which is why it can sit away from its neighbours.
Published because nobody else in this category publishes it. Error is the root-mean-square gap between our fitted volatility and the mid of the quoted spread. A slice marked otherwise failed a no-arbitrage check and fell back to the backbone, which is arbitrage-free by construction.
| Expiry | Days | Quotes | Error, vol pts | Inside spread | No-arbitrage |
|---|---|---|---|---|---|
| 2026-09-12 | 1.7 | 23 | 0.48 | 100% | checked |
| 2026-09-13 | 2.7 | 27 | 0.80 | 96% | checked |
| 2026-09-14 | 3.7 | 26 | 0.64 | 100% | checked |
| 2026-09-18 | 7.7 | 21 | 0.35 | 100% | checked |
| 2026-09-25 | 14.7 | 41 | 0.90 | 98% | checked |
| 2026-10-02 | 21.7 | 16 | 0.19 | 100% | checked |
| 2026-10-30 | 49.7 | 53 | 0.30 | 98% | checked |
| 2026-11-27 | 77.7 | 45 | 0.25 | 93% | checked |
| 2026-12-25 | 105.7 | 59 | 0.58 | 95% | checked |
| 2027-03-26 | 196.7 | 51 | 0.33 | 82% | checked |
| 2027-06-25 | 287.7 | 50 | 0.30 | 98% | checked |
Our arbitrage-checked curve against the venue's own marks, inside the quoted spread. Where the orange sits outside the grey band, the venue is marking a price you could not trade at.
Our fitted volatility interpolated at the forward, one point per listed expiry. A hollow point failed a no-arbitrage check and comes from the backbone instead of the refined slice, which is why it can sit away from its neighbours.
Published because nobody else in this category publishes it. Error is the root-mean-square gap between our fitted volatility and the mid of the quoted spread. A slice marked otherwise failed a no-arbitrage check and fell back to the backbone, which is arbitrage-free by construction.
| Expiry | Days | Quotes | Error, vol pts | Inside spread | No-arbitrage |
|---|---|---|---|---|---|
| 2026-09-12 | 1.7 | 25 | 0.58 | 100% | checked |
| 2026-09-13 | 2.7 | 27 | 0.39 | 100% | checked |
| 2026-09-14 | 3.7 | 26 | 0.96 | 100% | checked |
| 2026-09-18 | 7.7 | 17 | 0.41 | 100% | checked |
| 2026-09-25 | 14.7 | 43 | 0.70 | 100% | checked |
| 2026-10-02 | 21.7 | 13 | 0.22 | 100% | checked |
| 2026-10-30 | 49.7 | 39 | 0.51 | 100% | checked |
| 2026-11-27 | 77.7 | 32 | 0.30 | 94% | checked |
| 2026-12-25 | 105.7 | 44 | 0.39 | 100% | checked |
| 2027-03-26 | 196.7 | 39 | 0.26 | 97% | checked |
| 2027-06-25 | 287.7 | 40 | 0.15 | 98% | checked |