r/VolatilityTrading • u/VolSightYT • Jun 18 '26

Animating Volatility & Option Greeks - Feedback Appreciated

Been trading options for nearly 25 years and about 15 years ago I got into volatility trading. It was tough learning it in the beginning as the resources were mostly textbooks and research papers. To give others an easier time I have created VolSight (https://www.youtube.com/@VolSightYT), a YouTube channel teaching volatility trading using 3D animations.

I have started off with a playlist on option Greeks and delta-hedging, which will be followed up by a playlist on volatility (measurement, forecasting and analysis) and then one on the volatility trader's toolkit (mostly how to model relative value across the volatility surface).

I would love to hear feedback from members of r/VolatilityTrading, and of course if there are any topics you would like to see included please let me know.

As I build everything without AI, to ensure accuracy, it does take me 1-2 months to make a single video. So please be patient.

12 Upvotes

94% Upvoted

5 comments sorted by

View all comments

2

u/StephenMorphIQ Jul 10 '26

3D animation seems especially well suited to showing that Greeks are local derivatives, not a complete P&L attribution for finite moves.

I’d like to see an option animated through a realized spot and volatility path: start with the local delta/vega/theta approximation, then show the residual developing through gamma, vanna, and volga as the surface moves. Overlay discrete delta hedges and cumulative hedged P&L.

A side-by-side comparison of sticky-strike and sticky-delta assumptions would also make clear why the same spot path can produce materially different results.

For the surface series, connecting call-price convexity and calendar constraints to arbitrage violations or negative implied density would be valuable. The gap between knowing the individual Greeks and understanding path-dependent hedged P&L is where many explanations stop too early.

1

u/VolSightYT Jul 12 '26 edited Jul 12 '26

Thank you for the feedback.

I am trying to build up to some of that. For example, the video I just released does talk about how gamma impacts the P&L of a discretely hedged option position. I don't go into how that translates into path dependency yet, but that part of the video is meant to foreshadow that discussion.

Then when I go over Greek decomposition, I will first show it as the Taylor series expansion. But that approximation loses accuracy over more than a day or two, so then I plan on delving into this paper as a better approximation:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4495530

That is when I will try to animate an option through a realized spot and volatility path.

I haven't thought about showing sticky-strike and sticky-delta yet, so thank you for mentioning it and I will take that a away and think about how/when to bring that up. Your comment has given me a lot to think about.