Volatility Arbitrage
Calendar arb, skew trades and relative value in one scanner. Identifies where implied vol diverges from statistical vol for mean-reversion trades.
What is Volatility Arbitrage?
Volatility Arbitrage The Volatility Arbitrage scanner identifies mispricings across the vol surface — calendar spread opportunities from term structure divergence, skew trade signals and cross-ticker relative value.
Why This Matters for Your Trading
How professional options traders use Volatility Arbitrage to find edge.
Exploit Term Structure Mispricings
When front-month IV is unusually high relative to back-month, the calendar arb tab flags it. Sell front, buy back for a term-structure mean-reversion trade.
Trade Skew Directionally
The skew trades tab identifies when put skew is unusually steep or flat. Steep skew = sell put spreads. Flat skew = buy protective puts cheaply.
Pair Rich Against Cheap
The pairs scanner matches tickers with extremely high IV rank against those with extremely low — the building blocks for any relative value vol strategy.
See It in Action
Calendar spread opportunities with IV ratios and quality scores
Rich vs cheap pairs matching for relative value vol trades
Key Features
Calendar Arb
Front vs back IV ratio with opportunity scoring
Skew Trades
Put/call skew signals for directional vol trades
Relative Value
Single ticker analysis, market scan and pairs matching
Signal Generation
Long/short recommendations with quality scoring
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
Find elevated front-month IV, sell a calendar spread and profit from term structure normalisation.
Short vol on the rich ticker, long vol on the cheap ticker — market-neutral exposure to vol mean reversion.
Frequently Asked Questions
What is a calendar arb?
A calendar arbitrage opportunity exists when the IV ratio between two expirations diverges significantly from normal levels. Selling the relatively expensive expiration and buying the cheap one captures the mean reversion.
How are pairs matched?
The scanner identifies tickers at IV rank extremes (one very high, one very low), filters for adequate correlation and liquidity, then ranks by spread width and mean reversion probability.
Related Features
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