CVI is an algorithm for constructing implied volatility surfaces that is framed as a convex optimisation problem. As such, it is suitable to be processed by modern optimisation solvers like CVXPY, ...

Most performance issues have little to do with precision and far more to do with how options behave as time passes and volatility environments change.

Implied volatilities were mixed across asset classes last week as the risk of a looming government shutdown weighed on sentiment despite better-than-expected economic data. As we approach earnings, ...