AI-powered
podcast player
Listen to all your favourite podcasts with AI-powered features
How to Measure the Liquidity of the Underlying From a Volume Perspective?
The algorithm does not bring a new parameterization of the volatile surface, but rather it proposes a way to fill in the gaps. So for a strike, you can say whether a strike is liquid or not by looking at the the bid of a spread. And for maturity, for the whole maturity, you can look at every spread, but also the density of quoted strikes.