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Implying Volatility: How Fast Can We Go?

Author

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  • Fabien Le Floc'h
  • Jherek Healy

Abstract

FlashIV is a low-latency Black--Scholes implied-volatility solver for production use. It normalises each input to an out-of-the-money price and solves a tail-stable erfcx/log-price residual. The hot path combines a cheap Li/asymptotic seed with a fixed, branch-light Householder refinement and guarded boundary handling. Across regular and stressed benchmarks, FlashIV stays close to the expanded J\"ackel reference price while running materially faster than a normalised Java port of J\"ackel's \emph{Let's Be Rational}. FlashIV+ adds an optional J\"ackel--Newton correction for applications that need tighter agreement with that reference price, trading latency for reference-price alignment.

Suggested Citation

  • Fabien Le Floc'h & Jherek Healy, 2026. "Implying Volatility: How Fast Can We Go?," Papers 2605.29102, arXiv.org.
    • Handle: RePEc:arx:papers:2605.29102
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    File URL: https://arxiv.org/pdf/2605.29102
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    References listed on IDEAS

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    1. Dan Stefanica & Radoš Radoičić, 2017. "An Explicit Implied Volatility Formula," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-32, November.
    2. Zhenyu Cui & Yanchu Liu & Yuhang Yao, 2025. "Tighter Bounds for Implied Volatility With the Dirac Delta Family Method," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(11), pages 1970-1988, November.
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