dwasse / vol-surface-visualizer

Volatility surface visualizer for cryptocurrency options.

This repository holds the client and server for the volatility surface visualizer at http://0xhedge.io. Implied volatility is calculated from mid-market Deribit data with naive Black-Scholes and plotted against delta/strike and time to expiration.

What is a volatility surface?

A volatility surface is a 3d plot of option implied volatility as a function of delta (or strike) and time to expiration. This allows us to visualize the market's outlook on volatility. We calculate implied volatility using the Black-Scholes formula, using the mid-market option price from deribit.

Dependencies

You will need:

• python3
• python3-pip
• npm
• postgresql

On ubuntu, you can install dependencies with:

./setup.sh

Then, you will need to create the vol surface database:

sudo -u postgres psql
> CREATE DATABASE volsurface;
> CREATE USER "user" WITH ENCRYPTED PASSWORD 'password';
> \q

Getting Started

To run the server, do python3 server.py.

To run a websocket server for live data support, run python3 liveData.py once the server is running. You will need to add an apis.py file with your key and secret, since Deribit requires API authentication for accessing their websocket endpoints.

Screenshots