Volatility Indexes
Using Barchart's proprietary IV Index data, cmdtyView users can plot ‘constant maturity' implied volatility for 7, 14, 30, 60, 90, 180, and 360 day ‘virtual expirations’ on futures contracts. Barchart's IV Index is composite volatility for a futures root by aggregating option implied volatilities. It is a weighted average of the implied volatilities of Near-The-Money options (includes both calls and puts ) that straddle constant maturities(30, 60,… days).
Volatility Index Inputs
Underlying - Select a futures underlying. Search by name or futures root in the search for symbol box.
Continuous Volatility - Select a Volatility Index to plot for futures instrument.
Realized Volatility - Select a Realized Volatility or Historical Volatility for the futures instrument. Historic Volatility is the standard deviation of the "price returns" over a given number of sessions.
Underlier - opt to disable the underlying futures contract’s data from view (default is set to visible).
Futures Expiration - Select a futures contract expiration or maturity to compare the IV and HV too.
Roll Options - Select a ‘Roll’ option for the underling futures data. Futures data can be set to ‘Nearby On Volume' for most active contract based on volume and OI, ‘Nearby on DTE’ where a Days-to-expiration can be set, ‘Continue on Volume' will use the same contract month back in time rolled based on volume and OI, and ‘Continue on DTE’ will use the same contract month back in time rolled based a DTE value. By default, ‘Nearby on Volume’ is set.
Back Adjust - Configure the chart to Back Adjust the price history when switching contract months.
Show Options Volume or Open Interest - Display the total volume or open interest across all American style options. By default, volume is enabled.
Split Volatility - Enable a multi-plot view where the underlying futures and realized volatility are visible in a separate pane.
Volatility Index Plot
Both Continuous Volatility and Realized Volatility will display right aligned along the Y-axis while futures price data will displayed left aligned with a separate Y-axis. Volume or Open Interest will also display along the Y-axis's when visible. The cursor tooltip will display the futures contract and price, IV index, HV, and either volume or OI.
Editing Volatility Index Plot
After setting the inputs, select a Range/Period of historical data to view. By default, 3 months is visible. Click on the ‘Date Range’ to input a custom time frame.
Change any of the IV, HV, or underlying futures colors by clicking on the indicator name or ‘color chip'.
Remove any IV or HV indicators by clicking on the ‘x'. Click on the 'eye’ icon to hide any of the IV or HV indicators.