Testing Extended Rules of Thumb for the Dynamics of Volatility Surfaces
It is a common practise to quote option prices using their BlackScholes implied volatility. A volatility surface describes an options implied volatility as a function of the strike price and time to maturity. It can be used as a tool for hedging but also valuation when prices are not directly observable. The short-term evolution of this surface has been described by a variety of apocryphal rules.
