Option market data are quoted in terms of option prices and are fragmented into over 100 individual contract files per day for each symbol. Traders and quantitative analysts compare values of options in terms of implied volatilities. The current project refactors fragmented option price data into implied volatility files organized by stock symbols and expiration dates. Each resulting file comprises the temporal evolution of daily volatility smile curves for every day prior to expiration. Possible analysis enabled by the refactored data is demonstrated.

Creator

• Zhang, Jun

Contributors

• Vermes, Domokos

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-010811-204936

Keyword

• Implied volatility
• volatility smile

Advisor

• Vermes, Domokos

Defense date

• 2011-01-08

Year

• 2011

Date created

• 2011-01-08

Resource type

• Report

Rights statement

• In Copyright