Volatility Index

Also known as the Fear Gauge.

Resources:

1. CBOE Volatility Index (VIX)
2. CBOE VIX White paper.
3. Dummy data on SPX Puts and Calls

TO DO

• Get S&P 500 Options data from Kaggle.
• Write algorithm to calculate returns and volatility for all prices in the data.
• Healthy refactor of code.
• Model the returned to be PriceData and have puts and calls
• Calculate expected volatility by aggregating weighted prices of SPX puts and calls over a range of strike prices.
• Model data from external sources instead of CSV.
• Write a pipe for fetching data of different Option types.
• Pipe the data to the calculators.