3Options

The SPY volatility surface at the close of 2026-11-06, fitted expiry by expiry from the listed chain, with every metric the archive derives from it. Spot 735.96, snapshot taken at 4:25 PM ET, pipeline version 0.1.0.

3.1The surface

3.2Through the day

We capture the whole chain every half hour while the market is open and fit each snapshot exactly the way we fit the close. This shows how the surface moved during the day, not just where it ended up.

Volume is cumulative from the open, so the put/call ratio at each time covers the session so far. The last row is the after-the-close record published above.

3.3Implied volatility

IV rank and percentile are computed against this ticker's own trailing history in the archive, 41 days so far, so read them as provisional until the window fills.

3.4The 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.

3.5Term structure

At-the-money implied volatility against days to expiry, one point per fitted expiry.

3.6Momentum and trend

Computed from the underlying's own price history, not from the option chain. Trailing returns are simple, not annualised. The 12 minus 1 measure is Jegadeesh and Titman's: the twelve-month return excluding the most recent month, since that last month tends to reverse and including it contaminates the signal with short-term mean reversion.

Shape of the return distribution

Daily log returns over the trailing year. Excess kurtosis is measured against a normal distribution, so zero means normal-tailed rather than thin-tailed. Equity index returns are reliably negatively skewed and fat-tailed, which is the whole reason a volatility surface has a smile instead of a flat line.

3.7Realized 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 and Zhang add back.

3.8Gamma exposure

3.9Fit quality, by expiry

Every expiry the pipeline fitted today, with the forward and rate it extracted, how well parity held, the fit error and the margin by which the butterfly condition held or failed.

56.3% of the chain was excluded from the fits: zero-bid, crossed, no open interest, beyond the moneyness cut, or not invertible. We publish the exclusion rate because it matters: a surface fitted to a third of a chain tells you less than one fitted to all of it. Full history on the quality page.