Quant Project (Intro) - Build an Options Volatility Surface (Python + Excel)

In this intro video, we demystify what an options volatility surface is and why practitioners use it. Then, in an upcoming hands-on project, we’ll build a full surface step-by-step in both Python and Excel so you can see exactly what’s happening under the hood.

What you’ll learn

- Implied volatility basics: backing out vol from an option’s market price using Black–Scholes
- From single IV to a full surface: strikes × expiries → a grid you can visualize in 3D
- Real-world features: smiles, skews, and term structure vs textbook constant volatility
- Practical uses: consistent pricing, portfolio hedging, curve comparisons, and scenario tests

What we’ll build in the project

- Python
- Implement Black–Scholes from scratch
- Solve for implied vol with a numerical root-finder
- Organize IVs in a strike–maturity grid
- Interpolate and visualize the 3D surface
- Excel
- Set up Black–Scholes with cell formulas
- Use Goal Seek or Solver to back out IV
- Build the same grid and chart the surface

After we build it, we’ll connect it to the theory:

- Moving beyond a single volatility to stochastic volatility
- How Brownian motion, lognormal dynamics, and SDEs relate to option prices
- Where Ito’s Lemma fits in
#Options #ImpliedVolatility #VolatilitySurface #QuantFinance #Python #Excel #BlackScholes #Derivatives #StochasticVolatility

Видео Quant Project (Intro) - Build an Options Volatility Surface (Python + Excel) канала ‘Quant’ify Your Career