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Volatility Surface Analyzer


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Key Features:


  • Advanced Volatility Engine: Calculates Implied Volatility (IV) using the Black-Scholes model (Newton-Raphson method) and generates realistic synthetic market data with configurable volatility skew, smile, and term structure.
  • 3D Surface Construction: Builds and visualizes interactive 3D Volatility Surfaces using Thin-Plate Spline or Linear interpolation algorithms.
  • Comprehensive Arbitrage Detection: Automatically scans and flags specific market anomalies, including:
    • Butterfly Arbitrage (Strike convexity violations)
    • Calendar Arbitrage (Time monotonicity violations)
    • Put-Call Parity violations
    • Volatility Arbitrage (Negative variance/excessive gradients)
  • Interactive Analytics: Features 2D plots for Volatility Smiles and Term Structure analysis, alongside an Arbitrage Intensity Heatmap.
  • Real-Time Simulation: Includes a monitoring mode that simulates live spot price movements to detect new arbitrage opportunities dynamically.
  • Professional Reporting: Displays advanced metrics (Surface Curvature, Skew intensity) and allows for data export (CSV/Excel/JSON).