Calculated using advanced options analytics methodologies with full transparency on all components used in the models.
Options Implied Volatilities
Listed surfaces by contract: exchange ID, ticker symbol, currency, expiration date, put/call indicator and strike price
Closing mid implied volatilities for all strikes and expiries
Interpolated Implied Volatility Surfaces
Price-Relative (moneyness): Strike relative to underlying price (100 = at the money)
Delta-Relative: Call-equivalent delta (50 = at the money)
Expiries and constant maturity volatility surfaces from 1 week up to 2 years
Constant maturity volatility indexes term structure from 1 week up to 2 years.
Historical end-of-day volatility indexes values
Constant maturity historical volatilities from 10 days up to 180 days
Close to Close historical volatilities
Open-High-Low-Close historical volatilities, which take into account the underlying opening price jumps and drift.
Volatility Percentile Ranking
Implied volatility to historical volatility percentiles ratios.
Comparison between undervalued and overvalued options.
Comparison between expensive and cheap options