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How much does the volatility model move a GEX terminal's numbers? We swapped it and measuredtranslating…
1 min readUSAForem (DEV Community)
Every published gamma-exposure construction — including the one Cboe's own research uses — prices gamma the same way: Black-Scholes, one implied vol per contract, inverted from the quote mid. The literature offers upgrades: fit an arbitrage-free smile (SVI), or replace the…