Compare IV across one expiry
Options skew describes how implied volatility varies across strikes for the same underlying and expiration. This page solves each manually entered premium using European Black–Scholes with no dividends. It displays a single expiry slice, not a volatility surface across maturities. A curve inferred from hypothetical inputs describes those inputs, not current market positioning.
Build a consistent input sample
- Replace the hypothetical spot, rate, expiry and premiums. Use one observation time, one currency and per-share premiums. The continuously compounded annual rate is entered in percent; time is calendar days divided by 365.
- Use the same underlying and expiration for every row. Keep one premium per option type and strike; duplicates receive an error. Add lower-strike puts, an observation near spot, and higher-strike calls if you want the wing comparison.
- Inspect the table before the chart. Invalid inputs and premiums incompatible with the model receive an explanation. A failed solve does not become a guessed IV. At the zero-volatility lower bound, the limit is excluded from curve metrics.
- Compare the selected strikes and actual deltas. Missing a suitable put or call leaves the approximate 25-delta difference unavailable. The chart connects entered observations for readability; it does not fill a missing option chain.
An approximate 25-delta comparison
The tool selects the calculated put delta closest to −0.25 and call delta closest to +0.25, requiring each absolute delta to be between 0.20 and 0.30. It does not interpolate an exact 25-delta contract. A strike 5% away from spot is not necessarily a 25-delta option: time, volatility and rates affect delta.
The displayed difference is put IV minus call IV, expressed in percentage points. For put IV 30% and call IV 25%, the difference is +5 percentage points, not a 5% relative increase. This sign convention must be checked before comparing another vendor, which may use call minus put. Neither sign identifies a profitable trade or a directional probability.
What the descriptive shape label does
The nearest-spot valid observation must be within 3% of spot. The tool compares its IV with the unweighted average of entered lower-strike puts and higher-strike calls. A wing is called elevated when its average exceeds that observation by more than 2 percentage points. Both elevated wings receive a two-wing label; both averages within 2 points receive a near-flat label. Other configurations remain mixed or unavailable.
These are transparent display rules chosen for this tool, not a fitted skew model or validated market classification. Uneven strike spacing and the chosen sample affect the averages. More rows on one side do not establish greater demand. The nearest-spot observation is not an exact forward-ATM estimate; table moneyness uses spot and labels ATM only when strike equals spot.
Model limits before a strategy decision
American exercise, dividends, bid/ask spreads, stale quotes and inconsistent observation times can produce a different IV or make this simplified model inappropriate. A high wing IV does not by itself mean an option is mispriced. Skew can reflect risk compensation and model limitations as well as supply and demand; this page cannot separate those causes.
It does not assess spread execution, transaction costs, assignment, margin, probability of profit or future returns. Selling a higher-IV option changes risk exposure and is not made safe by this comparison. Use a contract-specific valuation and payoff analysis before considering any position.
For the underlying concepts, see OIC volatility and Greeks and OIC option-price inputs. The model here assumes zero dividends, a spot/strike range of 0.000001 to 1 billion, at most ten years to expiry, rates from −20% to 100%, and an IV search range of 0–1000%. These numerical limits are implementation choices, not observed market ranges.