Volatility

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.

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