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.
Worcester Polytechnic Institute
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Zhang, Jun, "Organization & Analysis of Stock Option Market Data" (2011). Masters Theses (All Theses, All Years). 34.
implied volatility, volatility smile