2 years ago

May2023 Top 10 Cryptocurrencies Performance.

XRP and LTC lead, while AVAX, DOT, and SOL struggle.
Modelling short-term expiry options can be challenging, and this can result in less accurate volatility smile modelling, leading to chaos during option expiry. Despite these challenges, the BTC option market has matured significantly in recent years, increasing confidence in the market.

At Lotan SABR (Stochastic Alpha Beta Rho) model is used, which takes into account the volatility of the underlying asset, time to expiration, and strike price. The volatility smile is a commonly observed phenomenon in the financial market that describes the relationship between the implied volatility of an option and its strike price.

Origin post: https://lotangroup.com/research/Trends_20230601

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