Announcing Implied Volatility Surface by Delta for futures

IVolatility proudly announces the availability of Implied Volatility Surface by Delta data for the US, European and Asian futures markets.

Now our institutional clients and those dependent on precise data for significant trading decisions can purchase this important data.

What is Implied Volatility Surface and what’s the benefit of its use?

IV Surface by Delta is a three dimensional surface normalized by delta (from 0.1 to 0.9 at 0.05 step iterations) and maturity (from 1 month to 3 years) collecting Implied Volatility every day for the same deltas & maturities.  This provides an easy method to filter out for example ATM .5 delta calls with 30 days to maturity and see the historical record of how Implied Volatility changed in the past to determine if a certain option is historically cheap or expensive.

Here is an example for GC (Gold) and SP (SPX 500 Index) futures 0.5 delta options with 30 days to expiration:


SP is currently around the average (13% with the low 8 and high 22 over last year), while for GC is relatively expensive now � 18% with the historical range 11 to 22.

Experienced traders prefer using either traditional IV Surface by Moneyness or IV Surface by Delta for backtesting option strategies.

IV Surface by Moneyness allows assigning a % to the distance from the option strike (moneyness) and perform a search with a fixed maturity and moneyness.

Compared to Moneyness, delta is a better measure of how far an option is in or out of the money.  An option contract 10% out-of-the money is almost at-the-money for LEAPs, but very far out-of-the money for contracts expiring in a week.  IV Surface by Delta provides an alternative for analyzing options historically since hedging is delta based.  IV Surface by Delta makes such performance analysis easier, faster and reliable.

Another importance of delta by surface is that it is provides more detailed data in the at-the-money range vs. moneyness surface.

IV DeltaNow, in addition to traditional Implied Volatility Surface by Moneyness, futures traders can expand their analysis using more sophisticated Implied Volatility Surface by Delta to determine if a certain option is cheap or expensive comparing it to the historical record of an option having the same or similar parameters.

Selecting the right option can be very important and make a significant difference to the bottom line when hedging a large SPX futures position.

View a sample of Delta Surface for futures here.

Read more about all available implied volatility datasets here.

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