VolFoundry
Quantitative research
An arbitrage-checked implied volatility surface for crypto options. It pulls the live Deribit option chain, inverts each quote for implied volatility, calibrates SVI slice by slice, runs static-arbitrage checks and fits an SSVI surface across the whole grid.
The fitting is the easy half. The interesting half is deciding what to do when the market quotes something that cannot be arbitrage-free. It does, most days, and a surface that just shrugs is worse than no surface.
