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ATM IV 30D
ATM IV 30DAt-the-money implied volatility for the 30-day tenor. This is the market's annualized expected move priced into options. Use as your baseline — if ATM IV is elevated vs history, consider selling premium via credit spreads or iron condors.
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IV Rank 1Y
IV RankWhere current IV sits within its 1-year high/low range. 0 = at the low, 100 = at the high. Above 50 favors selling premium; below 30 favors buying straddles or debit spreads as options are historically cheap.
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IV Pctile 1Y
IV PercentilePercentage of days in the past year when IV was lower than today. More robust than IV Rank as it accounts for the full distribution. High percentile (>70) signals a premium-selling opportunity; low percentile (<30) suggests buying cheap vol.
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HV 20D
HV 20DHistorical (realized) volatility over the last 20 trading days. Compare to IV to gauge whether options are cheap or expensive. When IV significantly exceeds HV, consider selling strangles or condors to capture the premium gap.
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VRP
VRPVolatility Risk Premium: IV minus HV. Positive means options are priced above realized moves (edge for sellers). Negative means options are cheap (edge for buyers). Sell premium when VRP is strongly positive; buy straddles or protective puts when VRP is negative.
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Forecast 20D
Forecast 20DORATS machine-learning forecast of 20-day implied volatility. Compare to current ATM IV to spot over/underpriced options. If forecast is well below current IV, sell premium at the overpriced tenor; if above, buy options before IV expands.
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Regime
RegimeCurrent volatility regime classification based on IV rank, VRP, and term structure shape. Determines whether the environment favors selling or buying premium. Use the regime to set your overall bias — sell-focused strategies in high-vol regimes, buy-focused in low-vol or crisis regimes.
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IV Term Structure Term StructureIV across expirations. Contango (upward slope) is normal. Backwardation signals near-term fear or event risk like earnings. Sell calendar spreads when the curve is steep (high contango) or buy front-month straddles when backwardation appears.
Historical Volatility Historical VolRealized (historical) volatility measured two ways: open-range (intraday high-low) and close-to-close (overnight + intraday). Compare across timeframes to spot acceleration or mean reversion. Rising short-term HV above long-term HV suggests momentum — consider buying puts or protective hedges.
IV vs HV (VRP) IV vs HVSide-by-side comparison of implied vs historical volatility at each time horizon. The gap (VRP) shows where options are most over/underpriced relative to realized moves. Target the tenor with the widest positive gap for selling premium, or the widest negative gap for buying cheap options.
Skew & Curvature SkewMeasures how OTM put IV differs from OTM call IV. Steeper negative slope = higher put premium (crash protection demand). Curvature captures the smile shape. When skew is steep vs its 1Y average, sell put spreads to capture rich downside premium; when flat, buy protective puts cheaply.
ORATS Forecasts ORATS ForecastsORATS machine-learning IV forecasts vs actual market IV at each monthly expiration. 'Fit' is the model's smoothed IV. When Forecast < Actual, the market may be overpricing volatility. Sell credit spreads at expirations where actual IV exceeds forecast; buy debit spreads where forecast exceeds actual.
Forward Volatilities Forward VolsImplied volatility for future time windows derived from the term structure. E.g., '60-30' is the market's expected vol between day 30 and day 60. Useful for calendar spread pricing and detecting event risk. Sell calendar spreads when a forward window is inflated by an event, or buy calendars when forward vol is unusually low.
Earnings Volatility Earnings IVIV premium embedded in options around earnings dates. Compares implied earnings move to historical actual moves. If the implied move consistently exceeds actual moves, sell straddles or iron butterflies into earnings; if actual moves beat implied, buy straddles before the report.
Relative Value Relative ValueHow this stock's IV compares to SPY and its sector ETF. IV/SPY ratio above the 1Y average means options are relatively expensive vs the broad market. Sell premium on the stock when its IV/SPY ratio is elevated, or buy dispersion trades (sell index vol, buy single-stock vol) when the ratio is depressed.
Market Context Market ContextKey stock fundamentals and correlation data. Beta measures sensitivity to market moves. High SPY correlation means vol trades on this stock carry significant market risk. Use low-correlation names to diversify a short-vol portfolio, and factor in ex-div dates when pricing near-term puts.
Implied Vol Surface IV Surface3D visualization of IV across strikes (delta) and expirations (DTE). Reveals the full volatility landscape and highlights areas of elevated or depressed premium. Look for 'hot spots' of rich IV to sell vertical spreads, or 'cold spots' of cheap IV to buy directional debit spreads.
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Implied vs Forecast Mispricing MispricingCompares market-implied IV to ORATS ML-forecast IV at each expiration. OVERPRICED = implied exceeds forecast (sell signal). UNDERPRICED = implied below forecast (buy signal). Sell iron condors or credit spreads at OVERPRICED expirations; buy straddles or debit spreads at UNDERPRICED ones for the highest edge.
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