03 / Using the app · Volatility
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03 / Using the appPage 19 of 66
Volatility
Term structure, smile, the surface, vol premium, implied distribution and the pricer.
| View | What it shows |
|---|---|
| Vol lab | Implied vol by expiry, skew per expiry, realised vol, the vol-of-vol regime and the dealer stress index |
| Volatility premium | Implied minus realised: is vol rich or cheap? |
| IV smile | Implied vol across strikes for each expiry |
| IV surface | A 3D surface of implied vol across strike and expiry |
| Implied distribution | The options-implied range for price over the coming weeks |
| Options pricer | A what-if calculator: set your own inputs and see the price, the greeks and a payoff chart |
Reading the term structure#
A near-dated spike above the rest of the curve usually means a known event is priced in, such as earnings or a major economic release.
Skew#
Puts priced above calls is normal for equity indexes. What matters is the change: skew steepening session over session means demand for protection is building, and it often moves before headline volatility does.
Dealer stress index#
One 0 to 100 reading of how constrained dealers are right now.
| Reading | What to expect |
|---|---|
| 75 and up (critical) | Wide quotes, thin books, moves amplified. Cut size. |
| 55 to 75 (elevated) | Momentum favoured over mean reversion. |
| 30 to 55 (normal) | Levels behave as expected. |
| Below 30 (low) | Liquidity is plentiful. Pins and fades tend to work. |
The pricer does not use live market data. It is for understanding how a position's price and risk change as one input moves.