S&P500 Implied Volatility Surface Dynamics (from 1986 to 2010)

This __video__ shows the evolution of the Implied Volatility Surface from 1986 to 2010 along with the Truncated Variation, Left-Jump Variation and Rigth-Jump Variation computed form 5-minute SP500 Futures returns.

Remark: the options quoted at the CME are American-style options, so the Black&Scholes Implied Volatility in the video can only be considered as an approximation, being the BS formula only for European options. At the same time, CME has the advantage (with respect to OptionMetrics, which provides European-style options) of providing data going back to 1986, such that it is possible to observe the structural break in 1987 (Black Monday on October 19th 1987).