Skew and Term Structure Charts With One Year of History
Visualize the volatility surface and compare today's skew and term structure to one year of historical volatility surfaces to identify relatively cheap and expensive options.
Fully integrated into GammaWins Calculator, the charts let you adjust strikes and expiries while instantly seeing the impact on your strategy's payoff. No more switching between separate volatility analysis and options strategy tools.
See How Different Strikes Are Priced Today
The volatility skew chart displays the implied volatility of every strike for the selected expiry in your strategy. Hover over the chart (or tap on mobile) to inspect the implied volatility at each strike.
The chart also displays one year of historical context for every strike shown. Historical minimum, 1st quantile, median, 3rd quantile, and maximum implied volatility are calculated by aggregating historical volatility surfaces over the preceding 365 days and interpolating the implied volatility at the corresponding moneyness.
Integrated with an Options Calculator
Unlike standalone volatility analysis tools, GammaWins integrates skew charts directly into its options strategy builder. Compare how different expiries are priced, adjust strikes directly on the chart, and instantly see how those changes affect your strategy's payoff, Greeks, and risk profile.
Select any expiry in your strategy to display its volatility skew. The strikes of your contracts are shown as vertical lines on the chart, and you can adjust them by dragging the lines. You can also display the skew curves for the other expiries in your strategy to compare how the market is pricing volatility across different expiries.
Spot Rich and Cheap Calendar Spreads
The term structure chart displays how the market is pricing your strategy's strikes across different expiries. Compare today's term structure to one year of historical values to quickly spot expiries that appear relatively expensive or cheap.
The chart also displays one year of historical context for the entire term structure curve. Historical minimum, 1st quantile, median, 3rd quantile, and maximum implied volatility are calculated for every point on the curve by aggregating historical volatility surfaces over the preceding 365 days and interpolating the implied volatility at the corresponding moneyness.
You can also adjust the expiries of your strategy by dragging the corresponding vertical lines on the chart. As you change the expiries, the payoff charts, Greeks, and risk profile are updated instantly so you can evaluate the impact on your trade.
Frequently asked questions
How is the historical context calculated?
For every trading day in the preceding 365 days, we calculate volatility surfaces at different times during the day. For the moneyness and DTE pairs in the charts, we interpolate the implied volatility of every surface and calculate the historical statistics based on those values.
This allows the charts to compare today's volatility surface with equivalent points from historical volatility surfaces, even though the available strikes and expiries change over time.
Why might the values differ from other platforms?
We use the same option pricing models throughout GammaWins to calculate both current and historical implied volatility. This means the skew and term structure charts, payoff charts, and Greeks all use the same assumptions, ensuring the platform is internally consistent and you are comparing apples to apples.
Other platforms and brokers may use different option pricing models or make different assumptions. As a result, implied volatility values can sometimes differ between platforms even when they are calculated from the same market prices.
Is historical context available for 0DTE options?
Yes. We take a snapshot of the market every 30 minutes to create our historical volatility surfaces. This means the historical values we show intra-day correspond to options with very similar minutes to expiry.
What timeframe does the historical range correspond to?
It corresponds to all the trading days in the 365 days before the trading day the option chains are displayed for. When using historical market snapshots, we similarly display the historical context before the trading day you are looking at.
This provides historical context for options with very similar time to expiry throughout the trading day.
What option pricing model is used to calculate the displayed IVs?
Just like GammaWins Calculator's payoff and Greeks calculations, we use Black-Scholes for European options and American call options, and Bjerksund-Stensland for American put options. This ensures the implied volatility displayed throughout GammaWins is calculated consistently, allowing you to compare values across different parts of the platform.
Why are put and call IVs displayed separately?
American options can be exercised before expiry. In some situations, exercising an in-the-money option early is optimal because it unlocks capital tied up in hedging or captures dividends. As a result, American calls and puts can follow different pricing dynamics and have different implied volatilities.
Why are the curves not always smooth?
Implied volatility is calculated from each option's mid price. When bid/ask spreads become wide, or when individual quotes are unusually far from fair value, the resulting implied volatilities can become irregular.
This may cause the skew and term structure curves to appear noisy rather than perfectly smooth.
Why does term structure usually drop from Friday to Monday?
Monday options include the weekend, while Friday options do not. Because the market typically assigns less volatility to weekends than to trading days, Monday expiries often trade at lower implied volatility than nearby Friday expiries, creating a visible drop in the term structure.
Why are some moneyness curves hidden in the term structure chart?
To make the chart easier to read, the moneyness curves for other expiry groups are hidden by default when you open the term structure chart for an expiry group. You can display them by clicking the Show button next to the corresponding moneyness group.
Is this available in the free plan?
Skew and Term Structure charts are part of GammaWins Pro. See the Pricing page to learn more about GammaWins Pro and compare the available plans.