Quantitative Finance · Python
An interactive Streamlit dashboard that fetches live options chains for any stock symbol and computes Black–Scholes prices, Greeks, and implied volatility with intuitive visualisations.
BSM
Pricing Model
5
Greeks Computed
Live
Market Data
IV
Surface Mapping
Proper options analysis — BSM fair value, full Greeks, implied volatility surface — typically requires Bloomberg or equivalent platforms costing thousands per month. Individual traders and small desks have no lightweight, code-driven alternative they can adapt to their own strategies.
Options chain data is pulled live for any ticker via a market data API. The analytical layer implements closed-form Black–Scholes pricing in NumPy/SciPy, computing Delta, Gamma, Vega, Theta, and Rho for every contract in the chain.
Implied volatility is solved numerically using Brent's method — iterating until the BSM price matches the observed market price. Results are rendered in Plotly: volatility smiles, Greek heatmaps, and put/call comparison charts. The entire dashboard is a single Streamlit script — reproducible, modifiable, and deployable in minutes.
Any ticker can be loaded, the full options chain analysed, and BSM mispricing surfaces identified — without a Bloomberg subscription. The full interactive analysis with code and methodology is documented in the companion report.