Options Forward Volatility Calculator

Options Forward Volatility Calculator

Options Forward Volatility Calculator

Options Forward Volatility Calculator

The amount of volatility implied by an option price includes any volatility for a preceding expiry.


Given 2 expirations we can effectively subtract the volatility of the near dated expiry from the later dated expiry to imply a "forward volatility" or the amount of volatility implied in between the 2 expirations.


The details of the computation can be found in Understanding Implied Forwards.


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Options Event Volatility Extractor

Options Event Volatility Extractor

Options Event Volatility Extractor

Options Event Volatility Extractor

When the market anticipates events like a stock's earnings date, it often factors increased volatility into the affected option expirations.


Traders analyze this implied volatility by separating it into the volatility for the event day itself and the typical daily volatility.


To do this, a trader estimates an “expected move size” for the event.


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Options Volatility Converter

Options Volatility Converter

Options Volatility Converter

Options Volatility Converter

The volatility converter can be used to transform an implied volatility from a 365-day model to a 251-day model or vice versa. 


Implied volatility is just a number that matches a model to what we actually care about — the real-world traded price of options. If you compare models with different tenors, you will observe different implied volatilities for a given straddle price.

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Track and analyze volatility metrics for 40+ symbols using 20+ proprietary charts. Equities, FX, commodities, crypto, and more.