Options volatility surface
Trading · sample build
Real-time implied volatility surfaces for equity options, with flags where quotes break the fit.
30d, 86% strike: quoted 4.5 vol points above the fitted surface
The problem
A trading desk needed a fast, stable vol surface to spot options that looked mispriced against their neighbours.
The approach
Fitted SVI slices per expiry with no-arbitrage constraints, recalibrated on live quotes, and flagged contracts whose implied vol strayed from the fitted surface.
How it was tested
Fits were checked for calendar and butterfly arbitrage on every recalibration. The flagging rule was replayed on recorded quotes to measure how often flagged contracts moved back towards the surface, and how often the flags were caused by stale or bad quotes instead.
What was handed over
Calibration library, live surface service, and a screen of flagged contracts for the desk.
Stack
- C++
- Python
- QuantLib
- TimescaleDB
- React