Snapshot 2026-09-07 at 4:20 PM ETspot 589.91pipeline v0.1.0
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x log-moneyness ln(K/F)y implied volatilityz maturity, √T spacingDrag to rotate, scroll to zoom, arrow keys when focused
Implied volatility
ATM implied, 30 day
15.18%
ATM implied, 60 day
15.19%
ATM implied, 90 day
15.20%
Term slope, 90 − 30
0.02%
Term shape
contango
IV rank, 252 day
64.3%
IV percentile
55.4%
25Δ risk reversal
0.88%
25Δ butterfly
0.05%
ATM skew, ∂σ/∂k
-0.1576
IV rank and percentile are computed against this ticker's own trailing
history in the archive, 139 days so far, so read them as
provisional until the window fills.
The smile, expiry by expiry
Points are market implied volatilities inverted from mid quotes; the line is
the calibrated SVI fit. Each expiry is drawn only across the strikes that
had a two-sided quote with open interest.
Term structure
Realized volatility
Five estimators, annualised on 252 trading days. They disagree by
construction: the range estimators use only intraday prices and are blind to
the overnight gap, which is exactly what Yang–Zhang adds back.
Estimator
5d
10d
21d
63d
252d
Close-to-close
17.54
13.56
14.07
15.13
15.29
Parkinson
11.63
10.96
12.22
12.79
13.05
Garman–Klass
12.13
11.69
11.50
12.39
12.63
Rogers–Satchell
13.00
12.64
11.45
12.50
12.49
Yang–Zhang
14.88
14.59
13.66
14.16
14.53
Parkinson ÷ close-to-close
0.663
0.808
0.869
0.845
0.854
Gamma exposure
Sign convention is an assumption.
These figures use the long_call_short_put
convention: dealers long gamma from calls, short from puts. That assumes
customers buy puts and sell calls, which is a generalisation about flow,
not something we can observe, no dealer's book is public. Open interest is
previous-day settled and is timestamped
2026-09-06, not to today.
Total gamma exposure
−$6.68m
Gamma flip strike
399.89
Max-gamma strike
600.00
Max open-interest strike
600.00
Put/call ratio, volume
1.002
Put/call ratio, open interest
1.000
Fit quality, by expiry
Days
Forward
Rate
Parity R²
RMSE (vol pts)
Used
Dropped
min g(k)
Butterfly
7
590.25
4.351%
1.000000
0.165
13
68
0.73372
pass
14
590.60
4.351%
1.000000
0.185
20
61
0.71349
pass
21
590.94
4.351%
1.000000
0.125
24
57
0.73267
pass
28
591.29
4.351%
1.000000
0.109
29
52
0.70858
pass
35
591.63
4.311%
1.000000
0.064
33
48
0.71281
pass
49
592.33
4.376%
1.000000
0.104
40
41
0.69637
pass
63
593.02
4.299%
1.000000
0.119
46
35
0.67632
pass
91
594.41
4.357%
1.000000
0.052
58
23
0.59136
pass
119
595.81
4.359%
1.000000
0.084
67
14
0.57579
pass
154
597.54
4.351%
1.000000
0.095
76
5
0.56646
pass
182
598.95
4.346%
1.000000
0.078
80
1
0.57094
pass
273
603.52
4.353%
1.000000
0.056
81
0
0.60080
pass
365
608.18
4.349%
1.000000
0.049
78
3
0.64612
pass
69.4% of the chain was excluded from the fits,
zero-bid, crossed, no open interest, beyond the moneyness cut, or not
invertible. The exclusion rate is published because it is part of the
result: a surface fitted to a third of a chain is a different object from one
fitted to all of it. Full history on the quality page.