A Python-based lab for options volatility analysis and risk-neutral distribution modeling.
# Activate virtual environment
source .venv/bin/activate
# Launch Jupyter Lab
jupyter lab options_analytics_lab.ipynb| Section | Description |
|---|---|
| 1. Theory | Risk-Neutral Valuation, Black-Scholes |
| 2. Data Pipeline | Options chain fetching via yfinance |
| 3. Implied Volatility | Newton-Raphson, Surface construction |
| 4. Risk-Neutral Density | Breeden-Litzenberger |
| 5. Monte Carlo | GBM, Heston, Antithetic Variates |
| 6. Validation | Realized vs Implied distributions |
Add your API keys to .env:
ALPACA_API_KEY=your_key
ALPACA_SECRET_KEY=your_secret