volatility-surface-analyzer

To find options mispricing, compare realized and implied volatility to calculate the variance risk premium, exposing where options are overpriced or underpriced. This requires historical return data and option IVs to derive multi-window realized vol and VRP signals.

An IV rank assesses current implied volatility against historical distributions, calculating where current IV stands relative to its past range. It uses volatility cones to evaluate whether options are cheap or expensive across asset classes and expiries.

Calculate variance risk premium by subtracting realized volatility from implied volatility to expose mispricing and risk in options. This derives VRP and volatility regime insights for tactical decisions, requiring historical return data and option IVs.

Analyze IV term structure by evaluating contango or backwardation across expiries to inform risk management and strategy selection. Apply this across asset classes to expose mispricing and risk in options markets using historical option IVs.

To generate a volatility surface and IV signals, provide historical return data and option IVs, optionally including price series. These inputs produce structured results including IV rank, vol cones, term structure, and VRP insights.

Use a volatility cone for risk management to assess current implied volatility against historical distributions across multiple windows. It exposes mispricing and risk in options by benchmarking current IV against realized volatility dynamics.