Volatility Term Structure charts plot the at-the-money implied volatility across expirations, which are an invaluable tool in determining options strategies based on anticipated changes in volatility. Backwardation is when volatility slopes downwards. Contango is when volatility slopes upwards, and a large increase signifies investors are expecting large moves in the underlying, such as around earnings.
Contango is plotted as a purple line and Backwardation is plotted as the yellow line. By default, the plot includes all active options contracts, however users can remove contracts by clicking on the Expiration Date Selected box and unchecking the expiration date, and then clicking Show Chart to redraw. You can hide either of these lines by clicking on the word at the top of the chart.
IV by Call Delta and IV by Put Delta - allows users to overlay implied volatility based on the delta of the option's series. For example, Delta 30 IV by Call will plot the implied volatility value across expirations for the strikes which have a 0.30 delta. Similarly, Delta 30 IV by Put will plot the implied volatility across expirations whose strike has a -0.30 delta reading (deltas for puts are negative). You can view the corresponding strike through the Volatility & Greeks for the underlying security and expiration date.
Depending on the options strategies, users may want to plot an IV based on 30-delta Calls and Puts for strikes within a reasonable range, or 15-delta Calls and Puts which reflect further out of the money strikes.
Above the chart, we provide the following information:
- Latest Earnings: The next expected earnings release date, if available. Additionally if a "Next Earnings" date is not available and there is a "Last Earnings" date, we will display that.
- Implied Volatility: The average implied volatility (IV) of the nearest monthly options contract that is 30-days out or more. IV is a forward looking prediction of the likelihood of price change of the underlying asset, with a higher IV signifying that the market expects significant price movement, and a lower IV signifying the market expects the underlying asset price to remain within the current trading range.
- Historic Volatility: The average deviation from the average price over the last 30 days. Historical Volatility is a measurement of how fast the underlying security has been changing in price back in time.
- IV Rank: The current IV compared to the highest and lowest values over the past 1-year. If IV Rank is 100% this means the IV is at its highest level over the past 1-year, and can signify the market is overbought.
- IV Percentile: The percentage of days with IV closing below the current IV value over the prior 1-year. A high IV Percentile means the current IV is at a higher level than for most of the past year. This would occur after a period of significant price movement, and a high IV Percentile can often predict a coming market reversal in price.
Options information is delayed a minimum of 15 minutes, and is updated at least once every 15-minutes through-out the day. The page starts updating for the new trading day at approximately 8:55a CT.
Note:Â 0DTE Friday option expirations are removed from the website at 7:45pm ET each Friday.
Options Overview
Highlights important summary options statistics to provide a forward looking indication of investors' sentiment.
- Implied Volatility: The average implied volatility (IV) of the nearest monthly options contract that is 30-days or more out. IV is a forward looking prediction of the likelihood of price change of the underlying asset, with a higher IV signifying that the market expects significant price movement, and a lower IV signifying the market expects the underlying asset price to remain within the current trading range.
- 30-Day Historical Volatility: The average deviation from the average price over the last 30 days. Historical Volatility is a measurement of how fast the underlying security has been changing in price back in time.
- IV Percentile: The percentage of days with IV closing below the current IV value over the prior 1-year. A high IV Percentile means the current IV is at a higher level than for most of the past year. This would occur after a period of significant price movement, and a high IV Percentile can often predict a coming market reversal in price.
- IV Rank: The current IV compared to the highest and lowest values over the past 1-year. If IV Rank is 100% this means the IV is at its highest level over the past 1-year, and can signify the market is overbought.
- IV High: The highest IV reading over the past 1-year and date it happened.
- IV Low: The lowest IV reading over the past 1-year and date it happened.
- Put/Call Vol Ratio: The total Put/Call volume ratio for all option contracts (across all expiration dates). A high put/call ratio can signify the market is oversold as more traders are buying puts rather than calls, and a low put/call ratio can signify the market is overbought as more traders are buying calls rather than puts.
- Today's Volume: The total volume for all option contracts (across all expiration dates) traded during the current session.
- Volume Avg (30-Day): The average volume for all option contracts (across all expiration dates) for the last 30-days.
- Put/Call OI Ratio: The put/call open interest ratio for all options contracts (across all expiration dates).
- Today's Open Interest: The total open interest for all option contracts (across all expiration dates).
- Open Int (30-Day): The average total open interest for all option contracts (across all expiration dates) for the last 30 days.
