Quantcast – a Risk.net Cutting Edge podcast cover image

Valer Zetocha – 16/01/23

Quantcast – a Risk.net Cutting Edge podcast

CHAPTER

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.

00:00
Transcript
Play full episode

Remember Everything You Learn from Podcasts

Save insights instantly, chat with episodes, and build lasting knowledge - all powered by AI.
App store bannerPlay store banner