Volatility Surface Trader

Replay-based volatility surface trading simulator with real-data replay and a synthetic fallback. Built to explore OTM-only IV dislocation strategies, edge detection, and portfolio risk management.

Demo (GIF may take a few seconds to load)

Highlights

• Real vs Simulation mode (real snapshots from IBKR, synthetic fallback)
• OTM-only smile view and edge logic (no ITM edge counting)
• Model IV fit with spline smoothing control
• Options chain with layout learned from Akuna Options 101&201 courses and strike-level T Pos
• MTM toggle: Mid vs Bid/Ask liquidation PnL
• Delta hedge suggestion + one-click hedge

Project Status

This is an active research prototype. It is not production-ready and profitability is not proven. Historical IBKR option bars do not include bid/ask size, so depth is assumed unlimited in replay.

WIP / Roadmap

• Stream live IBKR data to capture real bid/ask sizes
• Expand backtests to multi-month windows for robustness
• Improve surface fitting and edge calibration (SVI/Heston overlay)
• Add risk controls and exposure limits for automated play

Quick Start

cd vol_surface_trader
./venv/Scripts/python.exe dashboard/app.py

Then open: http://127.0.0.1:8050

Real-Data Workflow (IBKR)

1. Collect historical option bars and underlying TRADES:

../ib_chain_collector/collect_history.py --symbol SPY --expiry-mode third_friday --months 5 --strike-min 600 --strike-max 800 --strike-step 10 --days 3 --bar-size "5 mins" --port 7496

2. Merge bars into replay snapshots:

../ib_chain_collector/merge_history.py --input ..\ib_chain_collector\output\SPY\<RUN_DIR> --output data\chains

3. In the dashboard, choose Real and select the symbol from the dropdown.

Strategy View (OTM Dislocation)

• Left wing (K < spot): use OTM put bid/ask IV
• Right wing (K > spot): use OTM call bid/ask IV
• ATM: pick tighter spread
• Model IV fitted to the same OTM rule; edges are model IV vs OTM bid/ask

Notes

• Greeks are computed per-option using IV inferred from the chain.
• MTM "Bid/Ask" is a liquidation view (bid for longs, ask for shorts).
• Heston calibration is optional future work; spline/SVI are sufficient for baseline fitting.

Repository Layout

• vol_surface_trader/ core app and dashboard
• ib_chain_collector/ IBKR historical data collector and merger

Disclaimer

This project is for research and learning only. It does not constitute financial advice.