This project is a simple implementation of the Breeden-Litzenberger approach to extract the risk-neutral probability density function (PDF) from real-world SP500 option data.
I use data from Yahoo Finance, specifically from:
- 📅 08/04/2025
- 📅 09/04/2025
Both datasets refer to European-style call options expiring on 01/05/2025.
The goal is to visualize how the risk-neutral distribution evolves in response to market events—in this case, Trump’s decision to pause tariffs. By comparing two consecutive days of option prices, we can observe how market expectations shifted.