Term Vol Analytics
Per-expiration deep dive with strike-level mispricing signals, forward vol calculations, earnings premium isolation and institutional positioning indicators.
What is Term Vol Analytics?
Term Vol Analytics Term Vol Analytics provides per-expiration analysis including strike-level mispricing vs Black-Scholes, forward vol calculations from the term curve, and earnings premium isolation.
Why This Matters for Your Trading
How professional options traders use Term Vol Analytics to find edge.
Find the Richest Strike in Any Expiration
The mispricing tab ranks every strike by deviation from the Black-Scholes model. The richest strikes are your best vol selling candidates — the cheapest are buying candidates.
Separate Earnings Vol from Core Vol
Earnings premium isolation shows how much of an expiration's IV comes from the earnings event vs structural demand. Essential for pricing straddles that span earnings.
Calculate Forward Vol
Forward vol derived from the term curve tells you what the market expects vol to be between two future dates. Compare against your view to find edge.
See It in Action
Term structure curves with contango/backwardation assessment
Strike-level mispricing: market IV vs model, ranked richest to cheapest
Key Features
Term Structure
IV curves across expirations with shape assessment
Strike Mispricing
IV vs model ranked by deviation
Forward Vol
Expected future vol from the term curve
Earnings Isolation
Separate core IV from earnings premium
How It Works
Select ticker
Enter any US stock or ETF
Review data
Analyse the key metrics and charts
Identify signal
Find the actionable insight
Execute
Use the signal to inform your trade
Use Cases
Drill into a specific expiration, rank strikes by mispricing, and sell credit spreads at the richest strikes for maximum vol selling edge.
Use forward vol to determine if a calendar spread's expected vol curve normalisation justifies the entry.
Frequently Asked Questions
How is mispricing calculated?
Market-observed IV at each strike is compared against the ORATS smooth volatility model (derived from Black-Scholes). The difference, expressed in vol points and percentage, is the mispricing.
What is earnings premium isolation?
The earnings premium is the incremental IV contributed by an upcoming earnings event. Isolation separates this from the 'core' IV that would exist without earnings, helping traders price event risk accurately.
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