A modular quantitative research platform for implied volatility modelling, option analytics, systematic strategy development, and quantitative research.
🟢 Phase I Complete
Current Version
v1.0
Latest Deliverables
- Seven-Goal Project Report v1.0
- RQ1 Research Report v1.0
- Technical Documentation
- Automated Report Builder
- Quantitative Research Platform
Current Focus
Phase II Research Planning
The Quant Option Research Platform is a modular research framework developed for quantitative option analysis.
The project integrates data engineering, implied volatility modelling, volatility surface construction, quantitative signal generation, systematic backtesting, and robustness analysis into a unified research platform.
Rather than being a collection of independent analysis scripts, the platform provides a reproducible and extensible workflow capable of supporting future quantitative research and strategy development.
The original project was designed around seven major objectives:
- Data Acquisition
- Data Preprocessing
- Data Cleaning
- Implied Volatility Surface & Term Structure Construction
- Strategy Construction
- Backtesting Framework
- Risk & Robustness Analysis
All seven objectives have been successfully completed during Phase I.
Raw Market Data
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Data Inspection
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Data Preprocessing
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Data Cleaning
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Implied Volatility Estimation
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Greeks Calculation
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Volatility Smile
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Volatility Surface
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ATM Term Structure
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Signal Generation
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Strategy Construction
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Backtesting
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Risk & Robustness
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Research Reports
The platform follows a modular architecture.
Quant_Option_Project/
analysis/
config/
docs/
research/
scripts/
tests/
README.md
requirements.txt
Major modules include:
- Data Processing
- IV Engine
- Greeks Engine
- Smile Module
- Surface Module
- Term Structure Module
- Signal Generation
- Strategy Module
- Backtesting Module
- Robustness Module
- Report Builder
Daily ATM Implied Volatility Distribution
Completed.
Research notebook and technical report available.
ATM Term Structure Dynamics
Volatility Smile Dynamics
Additional research questions will be developed during Phase II.
- Daily IV summaries
- Greeks summaries
- Smile datasets
- Surface datasets
- ATM term structure datasets
- Signal datasets
- Backtesting datasets
- Robustness datasets
Automatically generated figures include:
- IV Distribution
- Volatility Smile
- Volatility Surface
- ATM Term Structure
- Greeks
- Signal Analysis
- Equity Curve
- Drawdown
- Robustness Dashboard
- Seven-Goal Project Report
- RQ1 Research Report
- Technical Documentation
- Python 3.14
- NumPy
- Pandas
- SciPy
- Matplotlib
- PyArrow
- OpenPyXL
- Visual Studio Code
- Jupyter
- Git
- GitHub
analysis/
Reusable quantitative analysis modules
config/
Project configuration
docs/
Documentation
Methodology
Changelog
Project Status
research/
exports/
figures/
notebooks/
reports/
studies/
summaries/
scripts/
Data processing
Automation
Report generation
tests/
Validation scripts
Completed Components
- Data Engineering Pipeline
- Black-76 IV Engine
- Greeks Engine
- Volatility Smile Analysis
- Volatility Surface Construction
- ATM Term Structure Analysis
- Signal Generation
- Strategy Prototype
- Backtesting Framework
- Robustness Analysis
- Automated Report Builder
- Technical Documentation
Status:
Phase I Complete
Phase II will focus on extending the platform through:
- Additional historical datasets
- RQ2 and RQ3 research
- Advanced volatility modelling
- Calendar spread strategies
- Volatility arbitrage
- Multi-factor option strategies
- Portfolio optimization
- Automated PDF report generation
This project aims to build a reproducible quantitative research platform rather than a collection of independent scripts.
Every research result, dataset, figure, and report is designed to be generated programmatically from standardized workflows, enabling future extension, verification, and collaboration.
This repository is intended for academic research, quantitative finance education, and personal portfolio demonstration.
This project was developed as an independent quantitative research initiative to explore implied volatility modelling, option analytics, and systematic strategy development.
Quant Option Research Platform
Version 1.0
Phase I Complete
June 2026