This report provides parameters which define the volatility surface per option class calculated by a proprietary Volatility Surface Fitter.
This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, proprietary implied borrow rates, and a proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.
File Layout: Specification
Pricing reflects internal usage, please contact Livevol_Sales@cboe.com if you would like to inquire about redistribution or 15-minute intraday deliveries.