 Note: Advanced Options is the legacy version of our new IVolLive Options Chain. If you are a new user, please see our IVolLive embedded Options Chain
Advanced Options service provides full and complete information on the entire options chain of a given underlying instrument.
On top of the options prices with volumes and open interest, the datasheet contains implied volatility values for each contract,
Greeks as well as IV Index and Historical Volatility of an underlying asset. A number of charts are also available to get a quick
glance at the current market situation.
Let's now take a closer look at the various data blocks presented on the Advanced Options page
The upper part of the page shows the underlying instrument market data (in our example it is S&P 500 index). Datasheet also shows underlying asset
IV Index values – current IVX for Call(s) and Put(s) with different terms (from 30 days to 180 days) and also, for comparison, IVX values for one
week and one-month back periods. Finally, we can see the underlying Historical Volatility data – again, current, one week and one month back, and
52-week High/low values.
In the lower part of Advanced Options page we can see the complete options chain of our underlying asset. As you can notice on the screenshot below,
it is possible to fine-tune our search with a number of filters: by Moneyness, Expiration date, and Call/Put options. In addition to the market data
(option symbol, price, volume, open interest), the datasheet also provides the IV (implied volatility) value, Parameterized Coefficient as well as number
of Greeks for each individual option contract.
Earlier we mentioned that Advanced Options tool has a number of charting features that might be quite handy when it is needed to have a quick look at the market
situation. Below you can see the chart types available on Advanced Options page. All of them can be displayed either as “Raw” data chart or “Parameterized”
data chart. Selection is made with the scroll down menu below the chart icons. For the detailed description
of our methodology please refer to
Volatility Surface methodology guide – this is an in-depth guide of
various surface representations and the way we calculate it
/data/data_services.html.
Volatility Surface (3-D Chart) - To show Volatility Surface by Delta we use OTM options, therefore their
Delta is ranging between -0.5 and 0.5 (Puts having negative Delta, Calls – positive). In calculation of our Surface
we use for Calls their ‘real Delta’, whereas for Puts delta is 1-ABS(Real Delta). Thus, our “Delta” has a range
from ‘0’ to ‘1’. We are selecting then the fixed points between 0.1 and 0.9 with 0.05 step and building our Surface.
As a result, the IV of Delta <0.5 is equal to the IV of OTM Call option. Whereas IV of Delta >0.5 is equal to the
IV of OTM Put option. Parameterized IV is shown as a function of period and one of the following parameters:
Delta, Moneyness or Strike. Chart has standard features: rotation, zoom, color. Read more about difference
representations of Volatility Surface and the way we calculated it in the
Surface Methodology guide
ATM IV At-the-money options contracts volatility versus maturity (implied volatility time skew)
Calls/Puts Skew Chart - Skew (“Risk Reversal”) shows a spread between IV of OTM Put option and IV of OTM
Call option for two fixed Delta points: 0.1 and 0.25 for Calls and -0.9 and -0.75 for Puts (on the Volatility
Surface chart these are 0.1 and 0.25 “Delta” points):
C/P Skew (0.1) = IV(Put with delta=-0.9) - IV(Call with delta=0.1)
C/P Skew (0.25) = IV(Put with delta=-0.75) - IV(Call with delta=0.25)
“Butterfly” Chart – “Butterfly” presents a spread between IV of OTM options and IV of ATM options.
It is calculated as an excess of Put and Call IV for OTM contracts over doubled ATM IV, specifically:
“Butterfly”(0.1) = IV(Put with delta=-0.9) + IV(Call with delta=0.1) - 2 * ATM IV
“Butterfly”(0.25) = IV(Put with delta=-0.75) + IV(Call with delta=0.25) - 2 * ATM IV
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