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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.

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3D Volatility surface visualization in the browser

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