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Quantitative Finance · Glossary

What is Live surface fit?

Definition 19.1 Market Making and High-Frequency Trading · Chapter 19 — Automated Options Market Making

A live surface fit is the continuous re-estimation of an options market maker’s volatility surface during the trading day, updating each expiry’s parameters from the latest quotes and trades as they arrive, fast enough that every quote the market maker sends is priced on a surface consistent with the current market.

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