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Skew Charts

The skew chart below displays the Implied Volatility (IV) and Delta for each Out-Of-The-Money put and call contract.
Note: The "Delta" at a given contract is the probabilty that the option will expire in the money.

We track how expensive options are over time via the probabilities given by the option deltas at One Standard Deviation below and above the current trade price (second chart).


Data for
Data as of 09:35ET | 01.29.2020

Current SPX Price: $3276.24
Call-Put Delta Spread: -12.2
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Loss of 1 Standard Deviation (-4.8%)
Strike Level: $3118.4
Probability for in-the-money: 16.1%
Gain of 1 Standard Deviation (+4.8%)
Strike Level: $3434.1
Probability for in-the-money: 4.0%