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Options Lab
Interactive options pricing and strategy analysis—European + American models, implied volatility tooling, and scenario surfaces—built as a lightweight Vercel-ready MVP with live chain integration.
Next.jsTypeScriptTailwindPlotlyPolygon.ioNumerical Methods
Impact Highlights
Δ Γ ν Θ ρ
Full Greeks suite
BS + CRR
European & American pricing
NR + Bisection
Robust IV solver
Multi-leg
Strategy payoff & heatmaps
Before vs After
Before
- • Manual options calculations via spreadsheets or expensive platforms
- • Black-box pricing tools with no visibility into methodology
- • Separate tools for European vs American option pricing
- • No easy way to visualize IV smiles or stress-test strategy payoffs
- • Limited provenance—unclear if values are live, modeled, or stale
After
- • Unified Black–Scholes + binomial tree pricing in one interface
- • Transparent formulas with dedicated Math Notes for explainability
- • Live chain integration via Polygon.io with graceful fallback to manual entry
- • Interactive charts for payoffs, Greeks curves, and scenario heatmaps
- • Clear quality flags showing data source (live vs computed vs manual)
Key Decisions
1
Lightweight architecture — single Next.js app deployed on Vercel, no separate backend
2
Correctness over flash — tight numerical methods with tests; charting kept clean and readable
3
Graceful degradation — demo mode and transparent warnings when live chain snapshots aren't accessible
What I'd do next (given more time)
- →Add portfolio-level Greeks aggregation across multiple positions
- →Implement volatility surface interpolation for term structure analysis
- →Build API endpoints for programmatic access and external integrations
- →Expand to support exotic option types (barriers, Asians)