Live surface → · source
VolSurface (VolFoundry) turns live Deribit option chains into arbitrage-checked implied-volatility surfaces for BTC and ETH, entirely in the browser. No server and no replay: what you see is the market right now.
Pipeline
- Stream quotes from Deribit and validate them
- Extract a forward per expiry
- Invert each quote for implied vol with Black-76
- Fit raw-SVI smiles slice by slice
- Fit a global SSVI surface across the grid
- Run automated static-arbitrage checks (butterfly and calendar), reported with their evaluation domain and tolerance
The calibration code is also a tested Python library.
The fitting is the easy half. The interesting half is deciding what to do when the market quotes something that cannot be arbitrage-free. It does, most days, and a surface that just shrugs is worse than no surface.