Implied Volatility Surface

toy project after reading paul wilmott intro to quant finance

Status: still lots TODO

Overview

Displays implied volatilty surface (and skew) of option chains from tickers FROM Yahoo finance.

Features

• Fetch live options data by ticker symbol
• View implied volatility skew (2d graph) for a specific expiry date #never knew of skew before this.
• Visualize 3D volatility surface across all available expirations
• Switch between call and put options
• 10 second load for the surface :D
• surface is missing surface area due to limited market data or my code (probably the latter)
• will not assist you in trading whatsoever...

Setup

Prerequisites

• Python 3.9+

Installation

1. Clone the repo and navigate to the project directory:

   cd implied-volatility

2. Install dependicies:

   pip install -r requirements.txt

Running the App

From the project root:

cd src/implied_volatility
streamlit run main.py

The app will open at http://localhost:8501.

Usage

1. Enter a ticker (e.g., AAPL, TSLA) and click Submit #defaults to AAPL
2. Select expiry:
   • All Expiries – shows a 3D surface across all available expirations
   • A specific date – shows the 2D volatility skew for that expiry
3. Choose option type – call or put
4. View the plots – interactive Plotly charts

License

MIT