European Option Quotes, Implied Volatility and Portfolio Greeks
This example starts with synthetic stock marks and option quotes, then runs them through Volt’s European pricing and Greeks service. The browser displays the service’s computed results; the terminal consumes the same native snapshot format.
From a quote to implied volatility
For an option with fixed contract and carry inputs, implied volatility is the value that makes the model price match the quote. Bid, midpoint and ask can therefore imply three different volatilities for the same contract.
The browser places these observations on a labelled volatility heatmap, a two-direction surface mesh and an expiry smile. The service interpolates bounded total variance. The annual-volatility colour and height scale is retained across updates and expands when required by a new observation. Freeze/resume, expiry filters, call/put filters and contract selection let a reader inspect the changing cross-section.
A fitted surface is conditional on the pricing and carry conventions supplied to the service. The recording is a synthetic European exercise example; American and Bermudan contracts require exercise-aware valuation.
Signed positions and portfolio units
The supplied book is short ten calls and ten puts at strike 100, with a multiplier of 100 on each contract. Signed option units are therefore minus 1,000 for each side of the straddle. For any per-underlying-unit Greek \(G_i\),
\[G_{\mathrm{book}}=\sum_i q_i m_i G_i,\]
where \(q_i\) is signed contract quantity and \(m_i\) is the multiplier. Apply these factors once. The chain reports per-unit Greeks; the portfolio reports signed aggregate exposures.
The short-straddle book has negative gamma and vega and positive calendar theta under the example’s conventions. A hedge in stock can offset current delta while leaving those other exposures.
Scenarios and local approximations
For a spot change and a volatility change, a local approximation includes delta, gamma and vega terms:
\[\Delta V\approx\Delta\,\Delta S+\tfrac12\Gamma(\Delta S)^2+\mathcal V\,\Delta\sigma.\]
The browser also fully reprices the declared scenarios. Comparing these outputs makes the size of the local approximation error visible. Stock hedges and option positions must use consistent signed units in both routes.
The terminal consumer
The terminal presents prices, Greeks, positions and scenarios from native snapshots. Saved JSON Lines snapshots can also be replayed, so the calculation can be inspected independently of presentation pacing.
Run the service and viewers
cargo run --release --locked -p volt-compute --features live-risk \
--bin live_option_risk -- --address 127.0.0.1:8088
Open http://127.0.0.1:8088. In another terminal:
cargo run --example live_risk_top -- --address 127.0.0.1:8088
cargo run --example live_risk_top -- \
--address 127.0.0.1:8088 --ticks 1 --no-color
The capture workflow independently checks prices and deltas, five Greeks using central price bumps, signed portfolio sums and full scenarios. These are numerical and accounting controls for the example, rather than evidence that its synthetic quotes or positions are profitable.
Source and related material
This walkthrough is for research and educational purposes. It illustrates how strategynet.ai organizes signal evidence into factors and scenarios. It provides no recommendation, investment advice, or instruction to trade any security.
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