Fixed Strike Matrix

The Fixed Strike Matrix tab within SpotGamma's Implied Volatility Dashboard, provides Implied Volatility values across a broad range of strike prices and expiration dates. To best personalize the matrix to work for you, there are many settings that can help you choose your timeframe, price range, and historical comparisons.

The Fixed Strike Matrix displays a table with individual cells showing the Implied Volatility for each strike price and expiration date, updated in real-time, and includes several useful features for traders and investors.

You can begin by typing in the ticker of their choice, such as SPX, in the search bar at the top left. By default, cells are color-coded red-to-green based on the Implied Volatility Z-Score.  If the cell is red, Implied Volatility is lower than the average implied volatility over the past two months.  If the cell is green, Implied Volatility is higher than the implied volatility over the past two months.

To see a specific price range, scroll left-to-right across the bottom to reveal the Implied Volatility across your preferred strikes. To center the table around the current security price, click on the teal button at the upper left.

Personalizing the Fixed Strike Matrix

Within settings on the top right of the chart, dashboard users can access additional customizations. To see the entire landscape at once, select Zoomed Out to show a much wider view of color coding across strikes and expirations. Users can select Normal to again show a narrower view of the matrix.

The Expiration Range determines how far out in time the IV dashboard will show expiration dates, ranging from 3 months to all expirations for a given ticker. Users can also limit the number of strikes shown by selecting an option from the Percent Out-of-the-Money Range dropdown, ranging from 5% to all strikes. In addition to limiting the range by dates and strike price, Prune Expirations and Prune Strikes will filter out rows and columns with limited options data, allowing users to focus on more liquid expirations and strikes for a given security. 

In our Table Data Settings, there are three useful features to help identify trading opportunities.

The first is Statistical Mode, which is on by default, and shows a color gradient indicating how high or low Implied Volatility is relative to the mean of the past 30 days, 60 days (default) or 90 days; this is measured by Z-Score, or standard deviation from the mean Implied Volatility for each expiration.  The range of Z-Score values is denoted in the legend at the top of the page. If the cell is red, this color indicates lower Implied Volatility as compared to the past two months. Green on the other hand indicates higher Implied Volatility relative to the past two months. 

When Statistical Mode is toggled off, the color coding will change to SpotGamma teal, indicating relative volatility not based on historical pricing, but simply between strikes and expirations as of today. Darker teal indicates higher relative Implied Volatility, and lighter teal indicates lower relative Implied Volatility. 

Skew Premium displays premium due to volatility skew for each ticker and expiration, with higher premium cells shaded with lighter colors. This can help a trader determine specifically which strikes and expiration dates to target for trading.

By selecting Show Highlights, the dashboard will bring a bright yellow border around potentially mispriced options based on the Implied Volatility levels of adjacent strikes and expirations.

On the far right, users can toggle the Compare Mode, which enables a comparison of the Implied Volatility changes between two selected dates. The Reference Date is defaulted to the current date, and you can choose to compare it to a previous date, which you can choose in the Comparison Date field. This view will show you how Implied Volatility has shifted from the comparison date to the reference date for a given security. Red coloration indicates a decrease in Implied Volatility, and green indicates an increase in Implied Volatility.

Finally, you can plot the difference in Implied Volatility for two dates when in Historical Mode, making it possible to plot current data against a past date, as well as two past dates for a snapshot of how things  changed in that specified timeframe.