Volatility
- Brendan Hebert (Unlicensed)
Located in the Analysis section, the Volatility icon provides users the ability to plot various Implied Volatility (IV) Indexes by maturity, option expiration and delta. Barchart’s IV Index is a measure of a stock’s implied volatility level using “virtual” options expiring at constant maturities (30, 60, 90, 120, 150, 180, 270, 360, and 720 days). Three sets of IV indexes are calculated: IV Index, IV Index Call and IV Index Put. The IV Index is a composite volatility of a stock calculated 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. The IV Call Index or IV Put Indexes are weighted averages of the implied volatilities of call or put options by 5 delta increments. Delta increments from 0.05 to 0.95 for calls and delta increments from -0.05 to -0.95 for puts that straddle constant maturities.
