Nice, I've been looking for a way to visualize the evolution of a volatility surface over the course of a month, the trick of just outputting the files and greating a gif with ImageMagick seems like a nice, quick way to show it. Any idea how you could make something like this but interactive, say within a Jupyter notebook with a slider?
Really great work here, I need to renew my expired LWN subscription clearly. Thanks for posting!