10Δ 25Δ Butterfly

This metric shows the 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.