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Research Methodology

How We Build the Forecast

A three-stage pipeline, from raw options data to calibrated surface forecasts. Designed by practitioners who spent careers at sell-side vol desks and quantitative asset managers.

Metafide Pipeline Architecture
Data Ingestion
Options chains, vol quotes, macro releases
Model Ensemble
Surface calibration, regime detection
Signal Blend
Sentiment overlay, cross-asset signals
Research Delivery
API + platform brief by 6:45am ET
Model Architecture

Three-Stage Model Ensemble

Each stage addresses a specific failure mode in conventional vol forecasting. No single model handles all three; the ensemble is the architecture.

Realized Vol Engine
GARCH-family and HAR models calibrated per asset class. Provides the realized vol baseline and regime prior.
Surface Interpolator
SVI and SABR parameterizations with arbitrage-free constraints. The core forecast engine. Blends realized and implied inputs under regime priors.
Sentiment Adjuster
Flow-based and macro sentiment signals adjust the base surface forecast. Dynamic weight allocation based on current regime conditions.
Signal Sources

Where the Signals Come From

Six primary signal categories, each contributing to the surface forecast through the model ensemble.

Options Chain Data

End-of-day and intraday options chain snapshots across listed markets. Strike and expiry coverage from 1-week to 2-year tenors where liquidity permits.

Options Flow
Options Flow Aggregates

Net directional positioning from large-lot and dealer flow data. Put/call ratios, skew-adjusted positioning, and open interest changes parsed for directional signal.

Realized Vol History

Multi-frequency realized vol estimates (5-min, 30-min, close-to-close) over multiple lookback windows. Fed into HAR-family models for the realized vol baseline.

Macro Surprise Index

Systematic tracking of macro data release outcomes vs. consensus forecasts. Positive or negative surprise streaks in key indicators have documented effects on vol regimes.

News Flow Analytics

Structured parsing of financial news volume and sentiment scores by topic category. Used as a second-order signal for the sentiment blend, not the primary surface driver.

Cross-Asset Correlation

Rolling correlation matrices across asset class pairs with regime-break detection. Provides context for adjusting single-asset surface forecasts based on cross-market dynamics.

Validation

Walk-Forward Validation Protocol

All model configurations are evaluated on out-of-sample walk-forward data, not in-sample fits. No parameter tuning on test periods.

18mo
Walk-forward validation window
5
Asset classes validated independently
4+
Distinct vol regimes covered in test set
MAE
Primary error metric vs. realized ATM vol

Research note: Metafide is a research and analytics platform. Validation statistics are derived from internal back-tests on historical out-of-sample data. They are provided for informational purposes only and do not constitute a guarantee of future forecast accuracy. Metafide is not a registered investment adviser or broker-dealer. Outputs are for analytical and informational use by institutional professionals only.

The Team

Built by Vol Practitioners

Frank Speiser
Frank Speiser
CEO & Co-Founder

12+ years building risk systems and vol research infrastructure for institutional desks in quantitative finance.

Helena Varga
Helena Varga
Head of Research

Derivatives research background spanning sell-side and buy-side. Specialist in options pricing theory and cross-asset signal development.

Marcus Chen
Marcus Chen
CTO & Co-Founder

Real-time financial data pipeline engineering. ML infrastructure for quantitative systems and low-latency market data processing.

Read the Research Behind the Models

Our public research articles detail the specific techniques behind the platform. No paywalls.