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Features
- Fast. Calibrates volatility surfaces in a fraction of a second
- Arbitrage-free. No butterfly or calendar spread arbitrage, including in the tails
- Stable. Variance-space formulation preserves structural consistency of the volatility surface across strikes and maturities
- Intuitive, shape-based parametrization. Direct control over ATM volatility, skew, and overall surface shape
- Universal settings. Same parameters across underlyings and market regimes — no retuning needed
- Rigorous tails. Linear variance in log-strike extrapolation, Lee's tail slope bounds, and closed-form no-arbitrage conditions in the wings
Research
The CVI algorithm is presented in “Convex Volatility Interpolation”, published in Risk magazine, Cutting Edge, February 2026.
The Volptima library goes beyond the paper, incorporating enhanced wing stability for demanding applications such as systematic trading and market making.
Technology
CVI is delivered as a library for easy integration into existing trading infrastructure. Written in Rust with bindings for major languages. From market data to calibrated surface in a fraction of a second.
Built for options market makers, systematic funds, and trading desks.