Volatility Surface Construction

[WITH CODE] Creating a volatility surface for major stocks and ETFs

Hello!

Welcome back to another market investigation post. This post will showcase the creation of the volatility smile, volatility term structure, and volatility surface for stock and ETF options.

This post builds off of my post last week, where we explored basic option pricing models and the option Greeks. The creation of the volatility surface is the first step in exploiting opportunities that were found in various academic papers.

The code for paid subscribers has been sent directly to your inbox. Next week, I will be exploring and implementing ideas from recent research.

Let’s get into it.