Title page for ETD etd-010811-204936

Document Type	masters report
Author Name	Zhang, Jun
URN	etd-010811-204936
Title	Organization & Analysis of Stock Option Market Data
Degree	MS
Department	Mathematical Sciences
Advisors	Domokos Vermes, Advisor
Keywords	implied volatility volatility smile
Date of Presentation/Defense	2011-01-08
Availability	unrestricted
Abstract Option market data are quoted in terms of option prices and are fragmented into over 100 individual contract files per day for each symbol. Traders and quantitative analysts compare values of options in terms of implied volatilities. The current project refactors fragmented option price data into implied volatility files organized by stock symbols and expiration dates. Each resulting file comprises the temporal evolution of daily volatility smile curves for every day prior to expiration. Possible analysis enabled by the refactored data is demonstrated.
Files	Financial_Option_Trading_Data_Analysis.pdf

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