Implied Volatility History

This chart shows the one-year range of implied volatility for options across different underlyings, DTEs, and moneyness levels. For a specific underlying, you can see the IV levels at which options with a given DTE and moneyness have traded over the past year, allowing you to compare them with current IV and judge whether it is relatively cheap or expensive from a historical perspective.

Due to volatility skew and term structure, options at different maturities and moneyness levels can trade at very different IV levels. Generic volatility measures like the VIX or an underlying’s aggregate IV can tell you about the overall level of volatility, but they don’t directly tell you whether specific parts of the volatility surface are relatively cheap or expensive. Looking at contract-specific volatility history lets you see whether the option you are analyzing is trading at a low or high IV relative to comparable options in the past.

Analyzing different volatility scenarios is an important part of evaluating a trade in options profit calculators like the GammaWins Calculator. These calculators typically default to each contract’s current IV and use that same level to calculate future payoff diagrams. In reality, a contract’s IV is likely to change over time, especially as the underlying price moves.

Using volatility history, you can see the typical range of IV for options at the time and price where you expect to exit the trade. This gives you historical context when adjusting your IV assumptions, helping you build more realistic scenarios for where your contracts might trade in the future.

These levels are calculated using historical data. Future volatility may behave differently, so the actual volatility of your trade could be lower or higher than the historical ranges shown here.

Calculating implied volatility also requires assumptions, and different tools may use different pricing models and assumptions. The volatility levels shown here are calculated using the same GammaWins pricing engine used by the GammaWins Calculator and our skew and term structure charts. This makes these historical levels directly comparable with the IV values you see elsewhere in GammaWins. Other providers may calculate slightly different IV levels, so using GammaWins' historical IV values with other tools may result in less consistent comparisons.

Our pricing engine currently does not account for dividends. This means the volatility levels can be misleading for underlyings that pay significant dividends. The larger and more frequent the dividends, the more cautious you should be when interpreting these levels. We are not aware of any retail options tools that account for dividends either.

Just like GammaWins Calculator's payoff and Greeks calculations, we use Black-Scholes for European options and American calls, and Bjerksund-Stensland for American puts. This ensures that implied volatility is calculated consistently throughout GammaWins, allowing you to compare values across different parts of the platform.

GammaWins Calculator Pro displays the current volatility skew and term structure alongside their one-year historical ranges.

These charts are integrated directly into the calculator, allowing you to see where the expiries and strikes in your strategy sit on the volatility surface. Learn more about the skew and term structure charts here, or try them yourself in the GammaWins Options Profit Calculator, no account required.

There are many reasons why implied volatility can differ across contracts of the same underlying. Here are a few common examples.

For a given maturity, OTM puts often trade at higher implied volatility. These puts can pay off during violent market moves, when option sellers may not have enough time or liquidity to fully hedge their exposure. Higher IV can reflect some of this additional risk.

Local supply and demand can also drive differences in IV. Heavy demand for options around particular strikes can make those contracts more expensive, pushing their implied volatility higher.

Significant events such as earnings announcements can also cause IV to differ across contracts. Options expiring after an event include the expected volatility around that event and may therefore trade at higher IV than options expiring before it. Similar effects can occur in ETF and index options around industry-specific announcements, economic releases, political events, or other events expected to increase volatility.

0DTE options can also trade at higher volatility levels because even small moves in the underlying can significantly change their deltas, making them more difficult for market makers to hedge.