FAQ

Yes, you can view an overview video HERE.

Depending on your options trading style and strategy, there are several numbers you may want to look at, e.g. comparing Historical volatility (HV) against Implied volatilities (IV Index) gives you some idea if options are cheap or overpriced relative to the historical moves in the underlying stock.

Looking at the IV Index of a Call Option and that of Put Option gives you an idea of the market's bias on options prices, perhaps indicating the market's expectation of a move. Looking at the IV Index Hi/Low indicator gives you an idea whether options are cheap or expensive relative to where the Implied Volatility has been over the last 52 weeks.

Other indicators are changes in volatility. If you notice a big change in Implied volatility from one day to the next, without a large move in the underlying stock (or significant change in the HV), it could suggest some buying or selling in the options markets based on some rumors or expectations of a large move. There are many different ways to analyze and use volatility figures. As you get comfortable with the platform, you will find those that are the best fit for your trading style.

We collect option prices for the four nearest strike prices relative to stock price options for all expirations. These prices are converted to Implied Volatilities and then averaged using a proprietary weighting technique factoring the delta and vega of each option. The IV is then normalized to 7, 14, 21, 30, 60, 90, 120, 150, 180, 360, 720, 1080 days fixed maturities.

To read more about our methodology please go to Education section: Implied Volatility Index (IV Index)

No. We take the four nearest strike prices to the current spot price. That includes at the money, out of the money options and in the money options. In this way, our IV figure represents a better average of the Implied Volatility of the options markets.

IV Call represents the weighted average of the Implied Volatilities of the out of the money call options, while IV put represents that of the put options. The two provide information on how the options markets are pricing calls vs. puts, i.e. the skew of Implied Volatility.

Normalization of the IV index to a constant maturity allows the correct comparison of IV data within a historical perspective. Comparing the IV of the average of one of a few maturities over time is commonplace, but unfortunately this practice is not very accurate as the average number of days that the Implied volatility is representing is not constant.

We use all available expirations. Implied Volatilities are calculated for all options and then we apply a weighted average scheme to calculate the fixed terms of IVIndexes.

We do not apply any weighting scheme. We use the most widely accepted method of calculating close-to-close Historical volatility.

We use Black-Scholes model for calculating IV for European-style Options and for American-style Options on underlying without dividends. We use the 100-step Cox-Ross-Rubinstein binomial tree model in other cases. We maintain current stock dividends and current SOFR-OIS interest rates in our database and use them for pricing model inputs.

Volatility Skew is the difference in the Implied Volatility between out of the money calls and out of the money puts. Typically, Implied volatilities across different strikes exhibit what traders refer to as a "smile", i.e. "out of the money options" have slightly higher volatilities than "at the money" options.

However, occasionally the "smile" is "skewed", i.e. equally out of the money calls and puts differ in their Implied volatility. The skew thus represents the markets bias towards calls or puts.

We show this skew as the ratio of Call volatility to Put volatility. Therefore, a number greater than 100% means Calls are priced higher than Puts and vice versa.

In turn, this would show that the market has a positive bias towards the upside. On the other hand, if this number is less than 100%, then puts are being valued higher.

Our database for Implied Volatility Index, 30 days terms, goes back to May 1999; 60, 90, 120, 150, 180 day terms for IVIndexes go back to November 2000.

Current option price is an average of the end of day best bid/ask across all options exchanges: 0.5 * (max(last bid) + min(last ask))