Volatility Surface Visualization App

This repository contains an interactive Volatility Surface Visualization App, designed to compute and visualize the implied volatility surface of options using the Black-Scholes model. The application allows users to explore the volatility structure across different strike prices and expiration dates dynamically. Additionally, it provides tools for analyzing option Greeks and tracking historical volatility surfaces over time.

🔗 https://volatilitysurfa.streamlit.app/

📂 Repository Contents

• code/: Source code of the Streamlit app.
• requirements/: Python dependencies required to run the app.
• devcontainer: Configuration files for development in a containerized environment.
• README.md: Documentation.

📌 Features

1. Volatility Surface Calculation

• Generates a 3D volatility surface based on the Black-Scholes model.
• Displays how implied volatility changes across strike prices and time to expiration.

2. Greeks Calculation

• Click anywhere on the volatility surface to calculate key Greeks:
  • Delta (sensitivity to price changes)
  • Gamma (rate of change of Delta)
  • Vega (sensitivity to volatility changes)
  • Theta (time decay effect)
  • Rho (sensitivity to interest rate changes)
• Selected values, including strike price and implied volatility, are displayed in real time.

3. Volatility Surface Gallery

• Users can save volatility surfaces at different time intervals (30 min, 1 hour, 1 day, etc.) to analyze changes over time.
• The stored surfaces can be revisited in a historical visualization section.

4. Customizable Parameters

• Adjust key inputs such as:
  • Spot price
  • Strike price
  • Volatility
  • Time to maturity
  • Risk-free rate
• The app dynamically updates all calculations based on user inputs.