Match moneyness before comparing maturities
A term curve holds the underlying and moneyness convention steady while expiry changes. A smile holds expiry steady while strike changes. A VIX futures curve compares prices of futures contracts. They answer different questions.
Spot-ATM selects strikes near today's underlying price. Forward-ATM selects strikes near each expiry's forward price, which depends on carry and distributions. A constant-delta curve holds a declared delta convention steady; 50-delta is not automatically forward-ATM. Cboe's surface products distinguish price-relative and delta-relative surfaces. This page has no expiry-specific forward input from the API, so its snapshot curve makes the narrower spot-ATM claim.
Check the K / Spot column before interpreting a slope. Our fixed 2% cutoff is a display rule, not an industry definition of ATM. Different strike grids can still produce different moneyness within that band. Missing IV at the chosen strike stays missing. The table averages call and put IV only when both exist at that strike; it does not average every quote in an expiry.
A 45-day IV example you can reproduce
Assume matched annualized IVs of 20% at 30 days and 24% at 60 days, measured together. With ACT/365 time, w₁ = 0.20² × 30/365 = 0.00328767 and w₂ = 0.24² × 60/365 = 0.00946849. At 45 days, the interpolation weight is one half, so w = 0.00637808 and IV = √(0.00637808 ÷ (45/365)) = 22.7450%.
The interval's annualized forward variance is (w₂ − w₁)/(30/365) = 0.0752, giving forward IV of 27.4226%. That is the variance rate implied for days 30 to 60 under this approximation. It is neither the 60-day IV nor a guaranteed realized volatility. The worksheet starts with these values and a third 90-day IV of 23%.
Event bumps belong in total variance
A scheduled jump can add variance to every expiry after the event. Dividing that extra variance by a longer horizon reduces its annualized IV contribution. In a simple model, w(T) = background variance rate × T + event variance for expiries that include the event. A middle-expiry IV peak can therefore appear even while total variance continues to rise.
For the default day-45 event, the 30-to-60-day interval contains the event. Assuming constant background IV of 20%, the residual is 0.00946849 − 0.00328767 − 0.20² × 30/365 = 0.00289315. It is an illustrative excess-variance estimate. It cannot separate earnings from other interval risks, and interpolating across that interval spreads the jump over time instead of placing it on day 45.
Read failures before reading trade signals
A downward IV curve can have positive forward variance: 30% at 30 days and 25% at 60 days produce 0.035, or 18.7083% forward IV. By contrast, 40% at 30 days and 20% at 60 days produce −0.08. The latter has no real square root; the worksheet shows the negative value. Stale quotes, mismatched inputs and different pricing assumptions can cause this result. A finite set of spot-ATM quotes is not a complete calendar-arbitrage test.
Use one quote time, the same contract specification and consistent IV source. Review bid/ask spreads, liquidity, dividends and exercise style. DTE counts New York calendar dates from today to expiry. This daily convention ignores precise intraday settlement and excludes same-day expiry; it is unsuitable for 0DTE precision. A flat endpoint slope does not rule out events between the endpoints, and a steep curve does not establish an option's value.
When checking inputs from TradingView, record the underlying, expiry, strike, option type, timestamp and displayed IV convention. Do not substitute a stock's historical volatility for a missing option IV. Snapshot values and worksheet scenarios are separate; enter the verified values manually if you want to reproduce a snapshot interval.
Sources and method
- Cboe volatility surfaces: price-relative and delta-relative conventions.
- Nasdaq VOLQ methodology, steps 5 to 7: total variance and maturity weighting. This worksheet uses two-point linear interpolation, not the VOLQ index methodology.
- Leung and Santoli, Accounting for Earnings Announcements in the Pricing of Equity Options: event jumps and their effect on implied volatility.
- Massive option chain snapshot documentation: contract fields, pagination and data recency.
Sources checked October 18, 2026. Educational analysis only; no investment advice or guarantee of trading outcomes.