Volatility Skew

The Volatility Skew tab, displays Implied Volatility readings for options at all strike prices for a single expiration. This view is important for understanding if the market has bullish or bearish expectations for the underlying asset.

The Volatility Skew chart, shows how Implied Volatility changes across all strike prices for a single expiration, using Real-Time Data to measure the current day’s Implied Volatility. Similar to our Term Structure tool, the Volatility Skew chart offers an Interactive Graph allowing users to slide the scale at the bottom of the chart or highlight with your mouse to adjust how many strikes they may want to view at once. We also allow users to download a snapshot of the current view of the grid by selecting the download icon at the top of the chart, and the Zoom Out icon at the top right brings a view showing the Implied Volatility for all meaningful strikes for the expiration dates selected.

Personalizing the Volatility Skew Tab

Within the Settings window, there are three ways to view the impact of skew in this chart, starting with Moneyness as a default showing Implied Volatility by the percent in or out of the money each strike is compared to the current pricing. Selecting Fixed Strike replaces the X-Axis with the actual strike prices at the bottom instead of as a percentage representation. Lastly, choosing Delta as the X axis, the chart shows Implied Volatility across option delta values.

Similar to the Term Structure chart, the Statistics Toggle shows an overlay of the 10th and 90th percentile of historical IV for options of the same days-to-expiration, which can be used to determine if volatility is above or below what can typically be observed based on where the curve lies relative to the shaded range.

To view additional timeframes, Extra Expirations can be added to the view. For example, users can view implied volatility for the same expiration date, or the user can see how implied volatility has changed for options with equal days-to-expiration across different expiration dates. As they are added, users can easily turn off or delete their selections by clicking the toggle or trash can icon next to each of their selections below.

Because users can display many different expirations at once, there is always the option to Reset to Default view, which will again show users only the skew for options expiring on the current or most recent trading day, while keeping whichever X-axis and Statistics settings they chose previously.