VolSurface

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.