Overview Walkthrough

Author: Sunny Zhang, Victoria Li

This page walks through the DevilTongues workflow inside the Shiny app: Market Data → Analysis → Execution Calculator → 3D Visualization. Each section below includes the corresponding UI screenshot.

Market Data Analysis Execution Calculator 3D Visualization

Market Data

In the Market Data tab, users fetch the live spot price and scan the options chain using LSEG Refinitiv.

1 Fetch Spot Price

Select an underlying (e.g., MSFT.O) and click FETCH SPOT PRICE. The app displays the spot price and the timestamp at the moment the button is clicked.

Market Data tab showing live spot price retrieval and timestamp.

2 Scan Options Chain

Configure strike bounds, expiry bounds, and max contracts, then click SCAN OPTIONS CHAIN. The app retrieves the options chain and displays the results in a table.

Options chain table after scanning contracts from LSEG.

Tip: You must fetch the spot price before scanning the options chain, because the surface and arbitrage logic use the current spot price.

Analysis

In the Analysis tab, the app computes implied risk-free rates via put-call parity and flags mispricings that exceed the threshold.

3 Navigator and Controls

The Analysis page contains the navigator and analysis parameters. Users set the benchmark risk-free rate and the arbitrage threshold, then click ANALYZE ARBITRAGE.

Analysis tab navigator and parameter controls.

4 Detected Opportunities Table

After clicking ANALYZE ARBITRAGE, the app generates a table of detected opportunities, including strike, expiry, implied rate, and rate differential.

Detected arbitrage opportunities after running the analysis.

5 Click a Row to See Strategy Breakdown

Selecting any row triggers a detailed breakdown: strategy type (conversion vs reverse conversion), required positions, rationale (implied vs benchmark rate), risk notes, and recommendations for execution.

Strategy detail panel generated after selecting a row.

Execution Calculator

The selected strategy also feeds into the Execution Calculator, which models real-world costs and capital usage. Users can adjust contracts, commission per leg, and expected slippage.

6 Selected Strategy → Calculator

Once a strategy is selected, the calculator loads the corresponding market inputs (strike, spot, option mid prices, days to expiry) and computes position values, costs, and expected returns.

Calculator view triggered by selecting a strategy from the Analysis table.

7 Cost and Scenario Outputs

The calculator reports commission, slippage, net P&L, ROI, annualized return, and scenario analysis (best/expected/worst).

Cost breakdown and scenario analysis for the selected strategy.

Note: The calculator uses live values (spot, option mid prices) and a simplified slippage model. Real execution may differ due to liquidity, timing, and assignment risk.

3D Visualization

The 3D Visualization tab plots an implied rate surface across strike and time to expiry, helping users understand how rate mispricing varies across the options chain.

Implied risk-free rate surface across strike and days to expiry.

Interpretation: Peaks and valleys indicate where the implied rate deviates most from the benchmark rate, which often aligns with the strongest arbitrage signals.