Intraday
Watch the surface move. Every thirty minutes, the same 180 numbers on a grid that does not move — so what changes is the market, not the coordinates. Panel 4 splits each move in two: what the spot commanded through the skew, and what the vega did on its own. The second is the P&L a delta hedge does not explain.
Level, skew and curvature at three maturities, at each snapshot of the session
← the figure is wider than this screen — drag it sideways →
One line per snapshot, cool at the open, warm at the close
The same permanent maturity, decoded at each instant
At-the-money move split into the part the spot explains through the skew, and the rest
← the figure is wider than this screen — drag it sideways →
Not the same grid as the day surface. Here: 180 numbers on twelve maturities from 7 days, read from chains between 7 and 400 days. There: nine maturities from 30 days, 135 numbers, on eighteen dates. Two states, not comparable coordinate by coordinate. Why, and what it takes to reconcile them.