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To get access
To get access
Free members can get FREE access to volatility data on 500+ US equities and Crypto via Volatility Terminal.
Free members can get FREE access to volatility data on 500+ US equities and Crypto via Volatility Terminal.
To log in
To log in
Click "Launch App" in top right. Ito Volatility Terminal will be launched in new tab.
Click "Launch App" in top right. Ito Volatility Terminal will be launched in new tab.
Once you are in the terminal, click "Log In".
Once you are in the terminal, click "Log In".
Click "Log in with Patreon".
Click "Log in with Patreon".
Click "Allow" to let Ito Volatility Terminal to verify your membership status.
Click "Allow" to let Ito Volatility Terminal to verify your membership status.
To start
To start
Select underlying at top left dropbox
Select underlying at top left dropbox
There are 4 types of volatility analytics provided
Implied Data - implied vol data/information derived from current option market data
Temporal Data - historical implied vol, realized vol data
Strategy Optimizer - formulation of optimal option trading strategies
Option Pricer - industry level pricer for live option trading
Implied Data
Implied Data
Latest implied volatility data from option markets, aims to provide insights into current market dynamics.
Volatility Smile:
Current vol surface of the underlying, for 1M, 3M, 6M and 12M tenor. Providing overview of implied vol level across different strike level and tenor.
Implied Vol Term Structure:
Plotting ATM implied vol level across tenor. Term structure plot provides market expectation of underlying's future volatility in different time frame. Short-term implied vol being higher than long-term implied vol means market expecting more volatility in short-term. Short-term implied vol higher being lower than long-term implied vol means market expecting more claim dynamics in short-term.
Blue dots are historical implied vol levels, red lines are 95%tile and 5%tile of term structure plots.
Implied Vol Skew Term Structure:
Plotting implied vol skew across tenor. IV Skew is defined as (25% delta put vol - 25% delta call vol) / ATM Vol, it is a measurement of bullish vs bearish sentiment, higher the skew means more bearish sentiment. Higher short-term skew means market is generally more bearish in short-term compare to long-term average sentiment.
Blue dots are historical skew levels, red lines are 95%tile and 5%tile of skew term structure plots.
Option Implied Daily Volatility:
Daily movement of underlying implied from option market. Particularly useful for trading option around earnings date. For example, if you buy a straddle before earnings date, and options are implying 10% move on earnings date, you can profit if the underlying moves >10% on earnings date.
Live Implied Vol Moves:
Volatility data are calibrated on T-1 basis. This section gives users indicative live vol moves for live trading.
Temporal Data
Temporal Data
Historical realized volatility, implied volatility, price & volume data, aims to provide insights into historical change of market dynamics.
Main plot:
Main plot:
Users can plot 4 different volatility time series at once (either realized vol or implied vol), or to compare any 2 time series. Panel on the right is summary statistics of selected time series.
Sub plots:
Sub plots:
4 sub plots for different time series. First sub plot is ATM implied vol time series, second sub plot is implied vol skew time series, third sub plot is price and forth is volume data. User can click on either one of the plots to pin a vertical line across all plots, for easier comparison across different time series.
To access advanced functionalities of Ito Volatility Terminal, users can join monthly subscription plan in Patreon.
To access advanced functionalities of Ito Volatility Terminal, users can join monthly subscription plan in Patreon.
Advanced features include:
Live volatility data
Option strategy optimizer
Option pricer
Live Telegram support
Strategy Optimizer
Strategy Optimizer
Formulation of optimal option strategies based on traders' need
Users can formulate four types strategies with optimizer:
Buy Call
Buy Put
Sell Call
Sell Put
Buy Call / Buy Put:
Buy Call / Buy Put:
Users can specify how many number of standard deviation move to speculate, optimizer will compute the optimal strike for each maturity. Idea is that, standard deviation of spot varies depends on tenor of options, by specifying desired #. of SD moves, we find out what would be the optimal options to buy for each maturity.
Sell Call / Sell Put:
Sell Call / Sell Put:
Users can specify the strike of call/put targeting to sell. Optimizer will compute the option premium as %yield, three options with highest %yield will be highlighted in purple.
Option Pricer
Option Pricer
Vanilla option pricer for pricing vanilla call and put, aims to assist users for real time option trading.
Option pricer is designed to price options with latest in-house market data (interest rate, dividends, repo, implied vol). In-house market data are captured at each end of business day.
Input:
Maturity - Option maturity in format DDMMMYY e.g. 20Dec24
Strike - Option strike
Style - American or European (US listed stock options are American, US listed index options are European)
Option Type - Call or Put
Spot (Optional) - Spot reference for option pricing, will automatically use live spot if empty, or user can input desire spot reference
Bid (Optional) - Bid price of option observed in market, for calculating live implied vol level of bid price, useful for comparing to latest in-house captured vol
Ask (Optional) - Ask price of option observed in market, for calculating live implied vol level of ask price, useful for comparing to latest in-house captured vol
Quantity (Optional) - Option quantity, for computing total greeks and premium in $
After inputting data, click "Calc Line" to calculate the option.
Output:
NPV (%) - Option price as % of spot
NPV ($) - Option price in $
Bid Vol - Implied vol level of input bid price
Vol - In-house last captured implied vol / implied vol used for pricing
Ask Vol - Implied vol level of input ask price
Delta/Gamma/Vega/Theta (%) - Option delta/gamma/vega/theta in %
Delta/Gamma/Vega/Theta ($) - Option delta/gamma/vega/theta in $ (calculated with quantity input)
Premium ($) - Total option premium in $ (calculated with quantity input)
Pricing Parameters:
After pricing an option, pricing parameters (implied vol, interest rate, repo, and dividends) are displayed in below. Users can overwrite the pricing parameters in table and click "Re-calc w/ overwritten params" to re-calculate with desired parameters.
Option Specifications:
Option tenor - Number of business days til expiry
Moneyness - Strike as % moneyness
Moneyness as #. standard deviation - Option Moneyness expressed as number of SD
Leverage - Option delta / premium, measurement of leverage on capital
Premium as %Yield - Option premium expressed as annualized %Yield
Scenario Analysis:
Scenario ladder on holding period and spot movement, aims to let users understand the option value changes over life of the options.
Adv. mode:
Advanced mode provides user an extra column of "Market Data" date in pricer. Users can price an option with historical date market data (implied vol, interest rate, div, repo). This feature aims to provide users the ability to compare option prices in historical dates.
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