Options Dashboard: IV Surface & Strategy Builder

The same thing, in writing

The dashboard header and the four tabs

This walkthrough covers the dashboard and the four main tabs inside it, with Tesla loaded. The header shows the stock at 363.58, a market cap of 1.36 trillion, the sector, the one year beta and the 30 day implied move as a dollar amount and as a percentage. Below that sit four tabs: volatility, option chain, price chart and IV surface matrix.

The volatility tab

At the top of the volatility tab is a plain historical vol trend that plots 30 day implied vol against 30 day historical vol. It is a quick read on whether vol is overpriced, fairly priced or underpriced right now.

Middle left is the historical returns distribution, and it is term specific. With the April 15 expiration selected, one day out, the average move is 1.86%, the implied move is 1.9%, the assessment reads fair because the two are close, and the panel shows how often past moves fell within the implied move. Push the expiration out to May 15, 30 days away, and everything changes: the average move becomes 7.8%, the implied move is 10.7%, and the assessment flips to expensive because implied sits just under three percentage points above the average. The within implied figure is 75%. That reading measures historical term vol: if an expiration a week ago implied a 6% move with four days to go and the stock moved 3%, that counts as within the implied move.

The same panel splits history into how often the downside expected move was exceeded, how often the stock stayed inside the range and how often the upside was exceeded. Over the past 100 days Tesla exceeded the upside implied move 5% of the time. The lookback matters as much as the term. Stretch it to 500 days, back into a period when Tesla was far more volatile, and the rolling 31 day average move becomes 17.35% against the same 10.7% implied, so the assessment turns to cheap. Cut it to 70 days and vol screens expensive again on fewer observations.

To the right is a volatility smile with an adjustable strike count. Underneath are IV rank against the one month and one year ranges, against SPY and against Tesla's sector, the comparison a correlation or dispersion trader would want when Tesla's IV rank sits at 12%. Then come IV against realized over 30, 60 and 90 days, the skew percentile and the put call vol ratio, and a forecast vol from a machine learning model that takes every volatility metric as an input and returns what term structure vol should be. IV sits 5.1 percentage points above that forecast. Call and put open interest close out the tab.

Price chart and the IV surface matrix

The price chart is a plain view of price with earnings overlaid. An earnings tab at the bottom shows each post earnings move across two years, viewable daily or weekly, as a line, or as the percentage return over the chosen window.

The IV surface matrix shows mid prices at different points across the curve. The at the money call and put read 2.81 and 4.11, the 15 delta call and put 74 and 80 cents, one expiration further out 1.17 and 1.20, and at the 24th expiration 3.55 and 3.59. The matrix can be split into bid and ask, switched to theta or vega, and the column headers can be changed from deltas to percentages from the money, where the 10% strangle ten expirations out shows 2.60 and 2.30.

The option chain

The option chain is term specific too, so switching to April 24 with ten days to go updates the whole chain. Staying with May 15, each strike shows the mid price, delta, gamma, theta and vega, the annualized IV and a term structure IV. The term structure IV adds the premium in the out of the money option to the distance from the stock to that strike, which for the 340 strike works out to an implied move of 9.05% for that term. Open interest and moneyness follow. The highlighted strikes mark the expected move, so with a 10.7% implied move the 320 put and the 410 call sit just outside it, and that strangle is the example the rest of the video builds.

Loading a strangle in the strategy builder

Clicking a mid price once buys the leg, clicking twice sells it and a third click removes it. Selling the 320 put and the 410 call opens the strategy builder, which lists each action, strike, expiration and quantity, the entry price and the delta, roughly five deltas to the upside for this pair. It shows the credit received, theta of 46 cents a day and the vega. Moving the put from 320 to 315, 310, 305 or 300 updates the Greeks and the chain highlight follows. The expiry plus button pushes a single leg out an expiration, and any leg that lives in a different expiration from the one on screen shows a dotted outline, which is how a calendar spread keeps track of where its other legs sit.

The P&L at expiration chart marks the implied move from the current price out to about 410 and 326, and the breakevens sit wider because the strikes are outside the expected move: 310 and 420. The credit of 9.96 added to 410 gives 419.96 and taken from 320 gives 310.04, both rounded to the nearest dollar. Max profit is the credit, max loss is unlimited for a sold strangle, and the panel gives the probability of finishing inside the strikes. The Greeks over time chart shows theta accelerating from around day 40 into expiration, and the price probability distribution shows where the one standard deviation move has landed historically, so the trade can be checked against the 68.2% band. A what if panel shifts IV down 20% or up 20% and redraws the P&L line.

The full simulator button carries the legs across prepopulated. There the days to expiration can be reduced to watch theta take effect, and IV can be adjusted to see what the strangle looks like with ten days left and higher vol. That simulator is the subject of the next video. In short, the dashboard is term specific, measures implied vol against realized over a chosen lookback, and shows a built position with its breakevens, Greeks and risk in view.