Volatility Surface

Visualize order books and spot arbitrage opportunities.

Visualize options surfaces and compare relative volatilities.

ATM IV: Plots ATM (“at-the-money”) implied volatility over selected time period for a wide range of times to expiration.

Currency: Select cryptocurrency.

Term Structure regime: Select for term structure regime. Contango means longer expirations carry higher implied volatilities. Backwardation means longer expirations carry lower implied volatilities.

Skew regime: Select for skew regime. Positive skew means that for a given time to expiration (here 30 days), higher strikes have the higher implied volatilities (that is, out-of-the-money calls are more expensive than out-of-the-money puts). Negative skew means that lower strikes have higher implied volatilities (that is, out-of-the-money puts are more expensive than out-of-the-money calls).

Term and Skew Structure

Currencies: Select crypto currency. Can select and display multiple currencies.

Texp: Select time to expiration (in days). Can select and display multiple times to expiration.

Option type: Selection option type (call / put). Can select and display both.

Term Structure: Plots implied volatility for various days to expiration. By default shows mean and 25% and 75% quantiles based on historical distribution, or shows curve as of a specific date selected by clicking on the ATM IV chart above. Can also select real time value.

Skew Structure: Plots implied volatility for various strikes (% change in moneyness). By default shows mean and 25% and 75% quantiles based on historical distribution, or shows curve as of a specific date selected by clicking on the ATM IV chart above. Can also select real time value.

Open Interest per Texp: Plots open interest for various days to expiration. By default shows mean and 25% and 75% quantiles based on historical distribution, or shows curve as of a specific date selected by clicking on the ATM IV chart above. Can select for option type (call/put). Can also select real time value.

Open Interest per strike: Plots open interest for various strikes (% change in moneyness). By default shows mean and 25% and 75% quantiles based on historical distribution, as curve as of a specific date selected by clicking on the ATM IV chart above. Can select for option type (call/put). Can also select real time value.

Volume per Texp: Plots volume for various times to expiration. Can select for option type (call/put). Shows real time value only.

Volume per Strike: Plots volume for various strikes (% change in moneyness). Can select for option type (call/put). Shows real time value only.

Gamma per Texp: Plots gamma for various times to expiration. Can select for option type (call/put). Shows real time value only.

Gamma per strike: Plots gamma for various strikes (% change in moneyness). Can select for option type (call/put). Shows real-time value only.