"Building a curve" means defining a function of where you think volatility should be as a function of strike and expiration. https://www.investopedia.com/artic

"Building a curve" means defining a function of where you think volatility should be as a function of strike and expiration. https://www.investopedia.com/articles/stock-analysis/081916/volatility-surface-explained.asp https://www.investopedia.com/articles/stock-analysis/081916/... It gets substantially more complicated, but that's a layman's explanation of what it actually is.