/volsurface

Visualize volatility surface

Primary LanguageRApache License 2.0Apache-2.0

volsurface

Visualize volatility surface

Data

There are two data sources under data/ folder.

R Output for SPX options EOD data on 12/31/2013

The quality is worse than what Mr. Gatheral has. There isn't enough resolution (or interpolation!?). But you can more or less see the volatility smile and skew.

  • Source 1

Surface Plot2

  • Source 2

Surface Plot2

References

http://faculty.baruch.cuny.edu/jgatheral/ImpliedVolatilitySurface.pdf