Option-Volatility-Surface

Using the TD Ameritrade Developer's API, I created a 3d model of volatility, delta (moneyness), and expiration of option contracts by the call or put side of a certain stock. By looking at these three parameters in this way, we can target volatility arbitrage opportunities. Theoretically, a volatility surface should be a smooth surface but dips in this surface show backwardation in the option chain. These kinds of opportunities are non-directional and have profit potential from contracts becoming closer to expiration. Calendar spreads are profitable in these situations. These models are very interesting to look at during an economic crisis or weeks before a highly anticipated earnings report.

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