Pitfield St’s Open Volatility Surface

Field notes

The pipeline derives forwards and discount rates from put–call parity, then fits Black–76 implied volatilities with raw SVI while checking butterfly and calendar constraints. The visible session reports 32 of 33 expiries passing the butterfly condition and identifies 55.8% of the chain as excluded from a fit. A companion analysis applies multiple-testing corrections to 168 tests across 14,013 index-return sessions.