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README.md

Plotting option greeks with sticky strike approach

This web app will plot the different surfaces for an european option with a sticky strike approach.

See it working

If you want to see it working:

  • Click here
  • Generate the volatility surface from the already inputted data and clicking the first submit button under the Volatility Surface section
  • Select the strike you want
  • And click the second submit button under the Option section to generate the premium and greeks surfaces.

How does it work

This app is using quantra.io as a backend, which is a REST api wrapper for QuantLib. The rest is html and javascript with plot.ly for the graphs.

Parameters

The parametrizaion is the QuantLb one, meaning you can find most of the information in the project website. The volatility surface is a matrix where the first row are the different expiry dates and the first column the strike values.

Sticky strike

The sticky strike approach, as explained in wikipedia and with some more detail in this Derman publication at The Sticky-Strike Rule, says that the same volatility can be used for the underlying process for different spot prices.

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