3D Volatility surface visualization in the browser
Branch: master
Clone or download
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Type Name Latest commit message Commit time
Failed to load latest commit information.
.gitignore
README.md
index.html
package-lock.json
package.json
screenshot.png
style.css
volsurface.js

README.md

VolSurface

An ugly volatility surface I'm too poor to be able to afford Bloomberg Terminal, and I wanted a decent way to visualize implied volatility across different dates and strikes. This is a Volatility Surface Visualization you can run in a modern browser. You must input data from the CBOE quote export tools.

This is still a work in progress, but pretty usable

Features

  • 3D display of volatility surfaces for puts and calls
  • Click on surface to view interpolated strike, expiration,Implied Vol
  • Navigate around surfaces
  • Axis labels

interpolation

Currently, the interpolation used is a minimal null fill that occurs from the center strike out to all sets of strikes seen in all contracts. The interpolation or parameterization methods could use a lot of improvement, however, the current strategy used mostly understandable surfaces with minimal distortion from missing pricing data.

Upcoming:

  • Better Parameterization /Interpolation
  • Surface 2D Slice Visualization

Install Instructions

npm Install

Usage Instructions

To Get Data, goto http://www.cboe.com/delayedquote/quote-table-download and download a .dat file. Click "Add File" and upload the file in the prompt.