For some bizarre reason I thought at one stage I might be able to create usable “fake” options data from price, interest rates and the Black Scholes model.
Well you can, but it takes no account of the volatility smile.
Nonetheless it was an interesting exercise in understanding options and I set out below a link to my Jupyter Notebook on Gist for anyone interested in following my footsteps.
Sorry, something went wrong. Reload?
Sorry, we cannot display this file.
Sorry, this file is invalid so it cannot be displayed.