@quant_arb dude you've literally put up an article confusing SSVI with a spline. Give it a rest. This isn't your area. Maybe you should start here:
https://t.co/6hbGhIAMFv
Interest rates are 0, no dividends, stock is at $100. Assume 1 year to expiration.
What is the maximum fair-value of the $100-strike straddle? If the straddle trades at its max value, what is the straddle’s delta?
A stock is currently trading at $50. The 3 months to expiry $100-strike put is trading for $52.00, and the $100-strike call is trading for $0.20. What could explain this?
Consider a European 100-call trading for $4. The spot is at 95, interest rates are 0, and there are no dividends. What is the price of the 100 straddle?