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VOLATILITY SURFACE

Implied Volatility by Strike & Maturity (Sample Skew Surface)

SURFACE PARAMETERS

ATM Volatility

20.00%

Skew Parameter

-0.15

(slope per 10

Convexity Parameter

0.10

(smile curvature)

Term Structure Slope

0.02

(vol increase

Reference Strike

$100.00

IMPLIED VOLATILITY SURFACE (Strike vs Time to Expiration)

Strike / Maturity

1.25Y

1.5Y

1.75Y

(years)

0.0833

0.1667

0.2500

0.3333

0.5000

0.7500

1.0000

1.2500

1.5000

1.7500

2.0000

3.0000

$70.00

23.6%

23.7%

23.9%

24.1%

24.4%

24.9%

25.4%

25.9%

26.4%

26.9%

27.4%

29.4%

$75.00

22.5%

22.7%

22.9%

23.0%

23.4%

23.9%

24.4%

24.9%

25.4%

25.9%

26.4%

28.4%

$80.00

21.6%

21.7%

21.9%

22.1%

22.4%

22.9%

23.4%

23.9%

24.4%

24.9%

25.4%

27.4%

$85.00

20.6%

20.8%

21.0%

21.1%

21.5%

22.0%

22.5%

23.0%

23.5%

24.0%

24.5%

26.5%

$90.00

19.8%

19.9%

20.1%

20.3%

20.6%

21.1%

21.6%

22.1%

22.6%

23.1%

23.6%

25.6%

$95.00

18.9%

19.1%

19.3%

19.4%

19.8%

20.3%

20.8%

21.3%

21.8%

22.3%

22.8%

24.8%

$100.00

18.2%

18.3%

18.5%

18.7%

19.0%

19.5%

20.0%

20.5%

21.0%

21.5%

22.0%

24.0%

$105.00

17.4%

17.6%

17.8%

17.9%

18.3%

18.8%

19.3%

19.8%

20.3%

20.8%

21.3%

23.3%

$110.00

16.8%

16.9%

17.1%

17.3%

17.6%

18.1%

18.6%

19.1%

19.6%

20.1%

20.6%

22.6%

$115.00

16.1%

16.3%

16.5%

16.6%

17.0%

17.5%

18.0%

18.5%

19.0%

19.5%

20.0%

22.0%

$120.00

15.6%

15.7%

15.9%

16.1%

16.4%

16.9%

17.4%

17.9%

18.4%

18.9%

19.4%

21.4%

$125.00

15.0%

15.2%

15.4%

15.5%

15.9%

16.4%

16.9%

17.4%

17.9%

18.4%

18.9%

20.9%

$130.00

14.6%

14.7%

14.9%

15.1%

15.4%

15.9%

16.4%

16.9%

17.4%

17.9%

18.4%

20.4%

CALL OPTION PRICES (Black-Scholes with Surface Volatility)

Strike / Maturity

1.25Y

1.5Y

1.75Y

$70.00

$30.12

$30.25

$30.37

$30.51

$30.81

$31.36

$32.00

$32.69

$33.41

$34.15

$34.89

$37.86

$75.00

$25.15

$25.29

$25.45

$25.62

$26.04

$26.78

$27.59

$28.44

$29.31

$30.17

$31.04

$34.41

$80.00

$20.17

$20.34

$20.56

$20.81

$21.38

$22.35

$23.35

$24.36

$25.37

$26.36

$27.33

$31.07

$85.00

$15.19

$15.44

$15.77

$16.14

$16.92

$18.14

$19.33

$20.50

$21.63

$22.73

$23.81

$27.87

$90.00

$10.27

$10.72

$11.24

$11.76

$12.78

$14.23

$15.59

$16.89

$18.13

$19.32

$20.48

$24.82

$95.00

$5.68

$6.50

$7.23

$7.89

$9.10

$10.73

$12.21

$13.59

$14.91

$16.17

$17.39

$21.94

$100.00

$2.21

$3.22

$4.04

$4.76

$6.03

$7.71

$9.23

$10.65

$11.99

$13.29

$14.54

$19.23

$105.00

$0.50

$1.22

$1.89

$2.51

$3.66

$5.24

$6.70

$8.09

$9.42

$10.71

$11.97

$16.72

$110.00

$0.05

$0.32

$0.70

$1.12

$2.01

$3.34

$4.66

$5.95

$7.21

$8.46

$9.68

$14.40

$115.00

$0.00

$0.06

$0.20

$0.42

$0.98

$1.98

$3.08

$4.21

$5.37

$6.53

$7.69

$12.30

$120.00

$0.00

$0.01

$0.04

$0.12

$0.42

$1.09

$1.93

$2.87

$3.88

$4.92

$6.00

$10.40

$125.00

$0.00

$0.01

$0.03

$0.15

$0.55

$1.14

$1.88

$2.72

$3.62

$4.59

$8.72

$130.00

$0.00

$0.01

$0.05

$0.25

$0.64

$1.18

$1.84

$2.60

$3.44

$7.25

PUT OPTION PRICES (Black-Scholes with Surface Volatility)

Strike / Maturity

1.25Y

1.5Y

1.75Y

$70.00

$0.00

$0.01

$0.08

$0.28

$0.57

$0.92

$1.31

$1.72

$2.15

$3.94

$75.00

$0.00

$0.02

$0.05

$0.19

$0.51

$0.92

$1.37

$1.84

$2.33

$2.82

$4.78

$80.00

$0.00

$0.01

$0.06

$0.15

$0.40

$0.89

$1.43

$1.99

$2.54

$3.10

$3.64

$5.75

$85.00

$0.00

$0.07

$0.21

$0.40

$0.82

$1.50

$2.17

$2.82

$3.44

$4.05

$4.64

$6.86

$90.00

$0.06

$0.31

$0.62

$0.94

$1.56

$2.41

$3.18

$3.90

$4.58

$5.22

$5.84

$8.11

$95.00

$0.46

$1.04

$1.54

$1.99

$2.75

$3.72

$4.55

$5.30

$6.00

$6.65

$7.27

$9.53

$100.00

$1.96

$2.73

$3.30

$3.77

$4.56

$5.52

$6.33

$7.06

$7.72

$8.35

$8.95

$11.13

$105.00

$5.23

$5.68

$6.08

$6.44

$7.07

$7.86

$8.56

$9.20

$9.79

$10.36

$10.90

$12.92

$110.00

$9.76

$9.74

$9.84

$9.97

$10.29

$10.78

$11.27

$11.75

$12.22

$12.68

$13.14

$14.90

$115.00

$14.69

$14.43

$14.27

$14.18

$14.13

$14.24

$14.45

$14.72

$15.01

$15.33

$15.67

$17.10

$120.00

$19.67

$19.34

$19.05

$18.80

$18.45

$18.16

$18.06

$18.07

$18.16

$18.31

$18.50

$19.51

$125.00

$24.65

$24.30

$23.95

$23.63

$23.06

$22.44

$22.02

$21.77

$21.64

$21.59

$21.61

$22.14

$130.00

$29.63

$29.25

$28.88

$28.52

$27.83

$26.96

$26.28

$25.77

$25.40

$25.15

$24.99

$24.97

Notes

1. The volatility surface is generated using a parametric model: Vol = ATM_vol + Skew*(moneyness) + Convexity*(moneyness^2) + Term_slope*(T-1).

2. Blue input values can be adjusted to model different surface shapes. Negative skew creates typical equity-like skew.

3. Option prices in the surface grids use the corresponding implied volatility from the surface (not the flat vol from inputs).

4. This is sample/illustrative data. In practice, implied volatilities would be calibrated from market option prices.