Volatility Curves

Volatility curves plot the option ‘skew’ by displaying the implied volatility value at each strike level for an option expiration. Different curve shapes like smile, smirk (reverse skew) and forward skew can be good indicators of market sentiment in terms of option volatility demand. Additional layers of analysis can applied by viewing the curve historically versus the current levels.

Volatility Curve Inputs

Underlying - Select a futures underlying. Search by name or futures room in the search for symbol box.

Expiration - Select an expiration. The last day on which an option may be exercised, or the date when an option contract ends. Also includes the number of days till options expiration (this includes weekends and holidays).

Compare To - Use the ‘date picker’ to compare the current volatility curve to a curve on a historical date.

Filter - Define the field of strikes within the curve using either the delta (limits downside and upside strikes to 10 delta) or live (sets historical curves to align with the current active curve strikes).

Curve Type - Select the type of curve. Call/Put will display displays put IVs from the ‘at-the-money’ strike and lower (left) and call IVs from the ATM to the right (higher). Call/Put Average will take the average of the call and put IVs at each strike. Call will display only call IVs and Put will only display put IVs. Call & Put will display both call and put IVs simultaneously.

Option Price Type - Select the option pricing type to calculate the IVs. Mid will calculate the mid price between the strike’s bid and ask. Last will display the most recent traded price (or prior day’s settle for contracts that have not traded). Bid will display the bid price IV and ask will display the ask IV.

Volatility Curve Plot

The strike prices will always display along the x-axis while the IV will be displayed along the y-axis. The cursor tooltip will display the strike price, the current IV at that strike with the given curve and option price type. Any historical curves applied will be visible at that strike price as well.

The current curve’s underlying last traded price, and any historical curve’s underling settlements, will appear as vertical lines.

Editing Volatility Curve Plot

Click on any of the curve descriptions in the upper left corner of the chart to edit the curves color, width or style.

Remove historic curves by clicking on the delete icon ('x') icon to left each curves description.