Overview

• Purpose: The demo is inspired by two blogs that discuss the construction of volatility surfaces for Bitcoin, and it aims to implement these concepts in a minimalist Pythonic way.
• I created this while preparing for a web3 interview.

Install and Run Deribit Volatility Surface

1. Clone this git to a local folder and CD into it
2. Create a virtual environment for all dependencies python -m venv "venv"
3. Activate the virtual environment source venv/bin/activate (linux/mac) ./venv/scripts/activate (Windows)
4. Install the dependencies python -m pip install -r requirements.txt
5. Run the application
   • To generate the volatility surface directly using the latest downloaded file, run
     • python app.py
   • To download data and generate the volatility surface, use the following command:
     • python app.py --download

Bonus: Run Binance Vol Surface

1. CD into the project folder
2. Activate the venv source venv/bin/activate (linux/mac) ./venv/scripts/activate (Windows)
3. Run the application
   • streamlit run app_streamlit.py

Known Issues for Deribit Volatility Surface

• If there is a space in the path of the Python program folder, plotly will have issues saving static image to output folder. A workaround is to set an environment variable. More details can be found here.
  • plotly/Kaleido#78

References

• The SVI Model - A Tutorial
• Crypto Volatility Surface