IV Shift Analysis
See the live IV smile overlaid against yesterday's close and the ORATS forecast model. Expansion and compression bars show exactly which strikes moved — and whether the market agrees with the model.
What is IV Shift Analysis?
IV Shift Analysis IV Shift measures how the implied volatility smile has changed since the previous close, broken down by strike and overlaid against the ORATS forecast to reveal mispricings.
The RIP (Risk/Implied Premium) metric quantifies how cheap or expensive the surface is relative to forecast. Positive RIP means options are cheap vs the model; negative means they're rich.
Key Features
Live vs Previous vs Forecast
Three curves on one chart — current smile, yesterday's close, and ORATS model forecast with shaded confidence bands
IV Change by Strike
Expansion (green) and compression (red) bars show where vol moved most since the previous session
RIP Score
Risk/Implied Premium tells you instantly if the surface is cheap or rich vs the ORATS forecast model
Forward Vols & Contango
Term structure metrics and smile decomposition in the header row — spot backwardation and contango at a glance
How It Works
Surface Snapshot
We capture the full IV surface at the previous close and compare it to the live surface throughout the day
Forecast Overlay
The ORATS model forecast is overlaid so you can see where market-implied vol diverges from the model
Strike-Level Decomposition
Each strike gets an expansion or compression bar showing the magnitude and direction of the shift
Actionable Metrics
RIP score, forward vols, contango ratio and smile decomposition are calculated in real time
Use Cases
Find strikes where IV expanded or compressed most — these are the entry points for vol mean-reversion trades
Watch how the smile shifts into earnings — rising RIP signals cheap vol, falling RIP signals expensive
Compare your own vol assumptions to the ORATS forecast to find disagreements worth trading
Track intraday surface changes across expirations to spot regime shifts in real time
Frequently Asked Questions
What is IV Shift?
IV Shift shows how the implied volatility smile has changed since the previous session close. It overlays the live smile against yesterday's close and the ORATS forecast model, with expansion and compression bars at each strike to show where vol moved most.
What is the RIP score?
RIP (Risk/Implied Premium) measures how cheap or expensive the current IV surface is relative to the ORATS forecast model. A positive RIP means options are trading below the model's fair value (cheap); a negative RIP means they're trading above (expensive).
Related Features
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