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Volatility surface

Implied volatility across strike and expiry

VolatilitySurfaceChart draws implied volatility across strike and expiry at once, as a heatmap. VolatilityCurveChart shows one smile or one term structure at a time; the surface is the whole picture, where a skew that steepens into short expiries or a kink at one strike stands out as colour.

VolatilitySurfaceChart(
  strikes: const [90, 95, 100, 105, 110],
  expiries: const ['1W', '1M', '3M', '6M'],
  volatilities: [
    [0.34, 0.30, 0.28, 0.29, 0.32], // one row per expiry
    [0.31, 0.28, 0.26, 0.27, 0.29],
    [0.29, 0.27, 0.25, 0.26, 0.28],
    [0.28, 0.26, 0.25, 0.26, 0.27],
  ],
  spot: 100,
);

The chart fills its constraints. When the height is unbounded, it uses defaultHeight. It is built on HeatmapChart, so a cell is null where there is no quote and is left empty.

Data

Parameter Description
strikes One per column, left to right
expiries One name per row, top to bottom
volatilities A row per expiry holding a value per strike, as fractions: 0.25 is 25%
spot The underlying's price; used to find the at-the-money strike for the skew

Colour

lowColor, midColor and highColor run the scale, cool to warm by default. minVolatility and maxVolatility fix its ends — useful to keep two surfaces comparable — and otherwise take the lowest and highest reading drawn.

Numbers

Function Description
atTheMoneyIndex(strikes, spot) The column of the strike nearest the spot
surfaceSkew(row, atmIndex) Each strike's volatility less the at-the-money one

Touch

onTouch reports a VolatilitySurfaceTouchDetails with the expiry, strike, volatility, the atTheMoneyVolatility of the same expiry and the skew between them, and null when the pointer leaves. tooltipBuilder builds a card beside the square.

Appearance

Parameter Description
showValues, valueFormatter, labelStyle Volatilities written in the squares
strikeFormatter, axisLabelStyle Strike labels and their style
expiryAxisWidth, strikeAxisHeight Room for the labels
spacing, radius Gap between squares and their corner rounding
animationDuration, animationCurve, animateOnMount Fade-in
backgroundColor, padding, defaultHeight Box

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