What is the Vol Explorer?

The Vol Explorer is a NodeJS application which illustrates the data generated by CommodityVol.com's volatility process. CommodityVol.com fundamentally prepares two types of data sets. First, the system generates volatility by strike. We entertain several assumptions about daycounting and models. Second, the system builds volatility curves. These curves, whether simple quadratic or more complicated SABR curve models, are stored seperately and are indexed to allow for quick retrieval. Using the curves or vol by strike data we can generate a derived dataset such as front month ATM volatility. We also plot the At the Money Volatility as a function of time to expiration.

The Vol Explorer's task is to help the user view an aribitrary group of vols by strike or curves. Finally, the Vol Explorer allows a user to overlay vol by strike on top of volatility curves.