Our Metrics

Options

Model IV

Model IV is Laevitas' volatility surface adapted from Stochastic Volatility Inspired (SVI).

Option Chain

An options chain is a listing of all available options contracts for a given security. It shows all listed puts, calls, their expiration, strike prices, and volume and pricing information for a single underlying asset within a given maturity period. The chain will typically be categorized by expiration date and segmented by calls vs. puts.

Time and Sales

Time and sales displays volume, price, direction, date, and time data for each trade that is executed on an exchange.

Open Interest & Volume Heatmap

The Open Interest (OI) & Volume Heatmap tool helps to track where positions are concentrated. View current OI and changes in volume and OI by strike, put or call, and expiration.

Open Interest & Volume Flow

View buy/sell volume alongside changes in open interest by strike, put or call, and expiration.

Open Interest & Volume by Expiration

Call/Put OI and volume (last 24h) breakdown by expiration.

Open Interest & Volume by Strike

Call/Put OI and volume(last 24h) breakdown by strike.

Max Pain vs Index Price

Historical max pain price of monthly options expiration plotted alongside the index price.

OTM (Out-of-the-money) Open Interest by Expiration

Distribution of OTM open interest of calls & puts by expiration.

ATM Implied Volatility rolling maturity and by expiration

Historical at-the-money implied volatility on different time periods by rolling maturity or expiration.

ATM Implied Volatility Term Structure

View the current at-the-money implied volatilities across expirations, and compare this to one month prior.

25Δ (Delta) Skew

Historical 25-Delta Skew values across different time periods by rolling maturity. The 25 Delta Skew is a measure of volatility skew calculated by the following formula (source: Mixon): Skew 1-month= (IV 25 Delta put 1M – IV 25 Delta call 1M)/ATM IV 1M

25Δ Risk Reversal

Historical 25-Delta Risk Reversal values across different time periods by rolling maturity. The risk reversal is another measure of volatility skew. I.E for 1 month it would be computed using this formula: RR (25-Delta 1M) = IV (25-Delta call 1M) – IV (25-Delta put 1M) A positive risk reversal means the volatility of calls is greater than the volatility of similar puts, which implies more market participants are betting on a rise in the currency than on a drop, and vice versa if the risk reversal is negative.

25Δ Butterfly

Historical 25-Delta Butterfly values across different time periods by rolling maturity. Butterfly is the difference between the average volatility of the call price and put price with the same moneyness level (25-Delta) and the ATM volatility level. For instance a BF 25 could be expressed by the following formula: BF25 = (σ25C + σ25P) /2 – σATM Butterfly spreads measure the curvature (kurtosis). The higher the Butterfly spreads, the more ‘peaked’ is your implied volatility curve.

Realized Volatility

Historical chart of realised volatility across different time-periods.

Volatility Cone

A technique for visualizing current option implied volatility relative to historic volatilities at different maturities. This technique, developed by Galen Burghardt, uses the range of historic volatilities for each option's maturity from, say, one month to two years or longer-depending upon the maturities of instruments available in the market. A historic volatility series is calculated for each period and 25% and 75% confidence intervals on either side of the mean historic volatility line are added. When the current implied volatility term structure is drawn on this diagram, the investor is able to determine how current option premiums compare to historic premium levels at various maturities.