Volatility Lab
Surface, term, skew, contango, VRP, vol cone, smile history and forward vol — across every tradable expiry. This is what your broker doesn't show you.
What is Volatility Lab?
Volatility Lab The Volatility Lab is a 10-tab analytical workspace for exploring the implied volatility surface, identifying mispricings, and tracking vol regime changes over time.
Includes mispricing detection that compares market IV to the ORATS model to find richest and cheapest strikes.
Why This Matters for Your Trading
How professional options traders use Volatility Lab to find edge.
See the Full Vol Landscape
The 3D surface shows you the shape of volatility across strikes and expirations simultaneously. Spot term structure kinks, skew anomalies and butterfly pricing in one view.
Find Mispriced Strikes
The mispricing tab compares market IV to the ORATS model at every strike. Richest strikes are overpriced vol you can sell; cheapest are underpriced vol you can buy.
Gauge Vol Regime with the Cone
The vol cone plots current ATM IV against historical realised vol percentiles (10th–90th). If IV sits above the 75th percentile cone, premiums are historically elevated.
Track Smile Evolution Over Time
Smile History shows how the IV curve shape changed over the past year. Spot structural shifts in skew that signal changing institutional demand.
See It in Action
Interactive 3D volatility surface — rotate, zoom and hover for strike-level detail
Mispricing heatmap identifies richest and cheapest strikes vs model
Vol cone shows current ATM IV relative to historical realised vol percentiles
Key Features
3D Volatility Surface
Interactive surface across strikes and expirations with hover detail
Mispricing Detection
IV vs model comparison identifies richest and cheapest strikes
Vol Cone
Historical realised vol percentiles for regime context
Smile History
Track how the IV curve shape evolved over 1-3 years
How It Works
Check the Smile
See current IV by strike for your selected expiration
Explore the Surface
Switch to 3D view for the full landscape across all expirations
Find Mispricings
The mispricing tab ranks strikes by deviation from model
Confirm with the Cone
Check whether current IV is historically elevated or depressed
Use Cases
Find strikes where IV exceeds the model by 2+ points, confirm with vol cone above 75th percentile, then sell credit spreads at those strikes.
Use the term structure view to find expirations where IV diverges, then drill into the mispricing tab to select exact strikes.
The vol cone and smile history together show whether current vol levels and skew shape are unusual — key context before any vol trade.
Frequently Asked Questions
What does the mispricing tab show?
It compares market-observed IV at each strike to the ORATS smooth volatility model. Strikes trading above the model are 'rich' (candidates for selling), and those below are 'cheap' (candidates for buying).
What is the vol cone?
The vol cone plots historical realised volatility percentiles (10th, 25th, 50th, 75th, 90th) as bands. Current ATM IV is overlaid to show whether premiums are historically elevated or depressed.
How far back does smile history go?
Up to 3 years of historical smile shape data, showing how the IV curve evolved over time including skew changes, butterfly shifts and earnings effects.
Related Features
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