Charting Volatility Surfaces from Quandl Data

xandman

xandman

Attached is sample Volatility Surface data from Quandl. Unfortunately, I cannot create any exciting visualizations from this data though I have made a vol surface with IV/Strike Prices. Any advice? The data request is in cell A1. Try it.)

If any cares to show off your Excel chops, I will gladly send it to you via email.

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I downloaded a couple of those files. I haven't done anything with them yet, though.

Unless I need to have my eyes checked, I don't see a settlement price for the underlying, so even if all someone wanted to do was build some simple time series charts with HV and IV at various terms/tenors, they'd have to bring in the underlying from somewhere else. That's a PITA.
 
The site has a sample visualization of RR vs FLY vs ATM time series put together. Effective, but that's not how I like to visualize the skew.

Surface charting B1 to H20 didn't work for me. Surface charts are best to snapshot a single timeframe such as strike vs IV. Hopefully, a savvy modeller will show me some ways to use this.
 
They dont provide strikes; the implied vols are ATMs of various days to maturity. How can you create a surface?
 
They have a high download count after just a couple of weeks but maybe a lot of that is sample data. If you're paying $80 to $100/mo and still have to do a lot of one-off manipulation or spend time figuring out how to automatically populate a model, some would say it's not worth it.

That may be the conclusion OptionWorks arrived at with their FOP data. They had the elements to populate a model and create a vol surface but now they're providing IV from 1 to 99 delta (at 1, 99 and then 5 point increments).
 
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