Gold Options IV Algorithm
Budget: $10 – $30 USD
I have raw gold-futures option data exported from Rithmic in Excel workbooks. Each sheet lists the option prices across strikes and expirations (please forget IV +greeks in these data files, it's not correct); my goal is to turn those quotes into a clean, maturity-by-maturity Implied Volatility curve that mirrors the smooth IV term structure shown on the CME Group site (+term structure).
Here is what I need done:
• Build a robust algorithm (any mainstream language is fine) that ingests the Excel files and automatically identifies contract month, strike, call/put flag and last traded price.
• Use a Binomial model to back out the Implied Volatility for every strike on every maturity.
• Interpolate and smooth the resulting values so the final output is a continuous IV curve for each expiration and a consolidated surface across all expiries.
• Provide reproducible code plus a brief README explaining inputs, assumptions and how to run the script on fresh Rithmic downloads.
Acceptance criteria
– For at least three recent trading days the generated curves must align to within 1–2 vol points of the CME curve at at-the-money, and show no arbitrage violations (monotone in strike, convex where expected).
– Code must run end-to-end with a single command, using only open-source libraries.
If you have solid derivatives maths and experience manipulating option data, this should be a quick, interesting project.
Here is what I need done:
• Build a robust algorithm (any mainstream language is fine) that ingests the Excel files and automatically identifies contract month, strike, call/put flag and last traded price.
• Use a Binomial model to back out the Implied Volatility for every strike on every maturity.
• Interpolate and smooth the resulting values so the final output is a continuous IV curve for each expiration and a consolidated surface across all expiries.
• Provide reproducible code plus a brief README explaining inputs, assumptions and how to run the script on fresh Rithmic downloads.
Acceptance criteria
– For at least three recent trading days the generated curves must align to within 1–2 vol points of the CME curve at at-the-money, and show no arbitrage violations (monotone in strike, convex where expected).
– Code must run end-to-end with a single command, using only open-source libraries.
If you have solid derivatives maths and experience manipulating option data, this should be a quick, interesting project.