Quantcast – a Risk.net Cutting Edge podcast cover image

Valer Zetocha – 16/01/23

Quantcast – a Risk.net Cutting Edge podcast

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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.

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