$COIN $MSTR $MARA $BTC Curious to see crypto/bitcoin stocks have the same basic volatility term structure, with noted elevation in implied volatility starting 15 NOV.
#cryptomarket
$SAVA Cassava Sciences has one of the *wildest* surfaces we have seen. Huge elevated IV for the June 2025 contract, with a flat smile. Note also the $SAVA is on the Nasdaq Reg SHO Threshold List.
@NVDA
One powerful use of the software is to compare IVs for different strikes between smiles (expiries). Asks tend have smooth IVs, but bid IVs are all over the place, even in the monthlies! Know your options at !
@TicTocTick
New blog on Options on Volatility!
We explore the unusual surface for $UVXY, the 2x levered VIX futures ETF.
Try our 3D vol surfaces with your first month free at .
$UVXY $CPRI
@TrendSpider
$SMCI earnings are 06 NOV, which normally would suggest an IV bump 15 NOV, but the options market expects the party to start sooner on 01 NOV.
Note the wide spreads in the 01 NOV contract, with so many strikes!
@Thepadre13
Yes! Most stocks exhibit negative skew: OTM puts have higher IV than OTM calls. This is called the “smirk” in the “volatility smile”. Odd to see OTM calls pricing in higher volatility than puts for future expirations. This *may* reflect higher demand for OTM calls. Helpful?
There are many unusual things about the $BOIL 2x levered natural gas ETF IV surface.
Perhaps the *most* unusual thing is call skew in almost all smiles, and particularly Jan 2025, where IV peaks over 113%.
Winter is coming?
#NaturalGas
$UNG
$SAVA down 9.32% today.
Earnings are 05 NOV, but option market expect the vol party to start 20 DEC after "Phase 3 Efficacy Results" announced.
ATM IV over 250% in DEC.
Bid/ask spreads as wide as the day is long! OMMs not in a hurry to take either side.
Checking in on $DJT.
So...
08 NOV ATM implied volatility is now over 330%!
This is election vol (03 NOV) + earnings vol (08 NOV)
Flat smile and bid/ask spreads are wide!
Totally normal...?😉
@StockSavvyShay
$RKLB (+5.95%) vol surface mystery!
Why does event vol peak 08 NOV, which is *before* earnings 13 NOV?
Also, check out the call skew through most smiles.
@BeckyQuick
$PARA its tempting to give this IV surface the "crazy call skew award." But close inspection reveals the call wings are penny bid contracts, so IV may not be meaningful. Keep an eye on the ATM term structure, which tends to show the way. Know your options at
$ASTS up 6.7% as options traders focus on near term expirations. 20 SEP ATM IV over 180%! Term in steep backwardation. You can see this vol from space!
Update on Trump Media options.
The $DJT vol surface now has over 270% ATM IV for 08 NOV expected earnings (via
@ZacksResearch
)!!
And, of course, election volatility.
We call this the "Cathedral of Vol."
"Spreads any wider, you could sail a ship through 'em"
OMMs be like 😰
$NVAX (+3%) has a dramatic vol surface in anticipation of NOV earnings.
Note that ATM IV peaks 08 NOV, *before* earnings, and not 15 NOV. Election vol?🤔
More strikes trading in the NOV weeklies than in the NOV monthly.
Call skew in all smiles!
The $FFIE options iVol surface remains in dramatic contango.
Almost 235% implied volatility ATM for the 1 NOV contract.
And yes, $FFIE remains on the Nasdaq Reg SHO Threshold List.
@FaradayFuture
@FINRA
The $MARA vol surface is truly fascinating.
Each smile/expiration tells a story.
Some have symmetry.
Some have skew.
Some have many strikes.
Some have few.
Some have wide spreads.
Some have narrow.
Some are round.
Some straight as an arrow!
🙃
#poetry
#volatility
$MSTR up over 9% today!
Options are pricing big moves for earnings 06 NOV.
The 08 NOV and 15 NOV expirations both have over 94% ATM IV.
The "vol cliff" is an information barrier, like the event horizon of a black hole! Few can see beyond... 🕳️
$NVDA is a textbook options implied volatility surface.
1) Deep smile near term (20 SEP) with tight bid/ask spreads.
2) Some negative skew as OMMs charge extra to sell insurance (short puts).
3) Slight ATM IV bump 20 DEC after earnings 19 NOV.
4) Overall, moderate IV in the
@Prof_heist
$TLT has such a unique options ivol surface: Call skew, backwardation (downward ATM term structure), dual IV "bump" post election (Nov+Dec Monthlies).
Wells Fargo Upgrades $AFRM to Overweight from EW; and Raises PT to $52 from $40:
"Affirm has clearly demonstrated its ability to incrementally gain e-commerce checkout market share for the long term."
"We see GAAP profitability on the horizon, which makes the valuation case for
$RKLB up 4%.
Not often do we find a smile that is *all* call skew, as with the 27 SEP expiration. Note the wide spreads.
ATM IV over 81% for NOV earnings.
@TrendSpider
$TSLA vol surface with a "two part" speed bump in the middle. 18 Oct vol bump likely from earnings 14 Oct. 15 Nov vol bump from election volatility?
#Tesla
#ElonMusk
New blog out re Funny Looking Volatility Surfaces:
Tickers we discuss: $PG, $GOLD, $FDX, $APAM, and $SAVA
Check it out, and don't forget the first month is free!
~ Volbox Team
$TSLA options Robotaxi vol >> Earnings vol
10 OCT Robotaxi event.
11 OCT ATM IV over 83%.
BIG IV
Negative skew, LONG call tail, TIGHT spreads.
16 OCT Earnings
18 OCT ATM IV 77 %.
Big, but not Robotaxi big.
@elonmusk
$TSLA IV mystery!
Earnings are 16 OCT, but ATM IV peaks 11 OCT? Why?
Robotaxi event on 10 OCT!
In other words, options market cares more about Robotaxi than earnings...
Note the tight spreads on 11 OCT contract!
$SMCI another "double bump" IV surface
06 NOV - Earnings
08 NOV - ATM IV 84.2%, WIDE spreads, flat(ish) smile
15 NOV - ATM IV 83.8%, TIGHT spreads, put skew
Weird, right?
@Prof_heist
$TLT three interesting IV facts. 1) skew is highly symmetric, 2) vol is relatively “cheap” 3) term structure is basically flat starting 15 NOV ‘24. 🤔 See more angles at .
$RKLB up 3.5% today and another ticker with call skew through the term structure! OMMs are charging for calls today! Rotate the surface in 3D at , first month free!
$BABA -6.67% as the China trade pulls back.
Like other China stocks, $BABA options still showing call skew through the term structure.
BTFD, or OMMs just hedging a potential rally?
$VXX is up 6.5% so let's visit the 2x levered vol ETF, $UVXY.
IV call skew through the term structure, especially early expirations.
11 OCT ranges from 100% IV (OTM put) to 200% IV (OTM call)!
Most of those volatility smiles are more *concave* than linear, which is rare.
@ThaGoattttt
The near-term volatility smiles for $SMCI are conventional with negative (put) skew.
Bid/ask spread are tight.
In vol terms, OTM calls are most "expensive" 04 OCT. ATM vol remains elevated above 76%.
After earnings, term structure is in normal backwardation.
$PTON down 4% today but 20 Sep shows strong call skew. ATM IV peak is 27 Sep. Choppy action in the weeklies before ATM vol flattens November and onward at 84%.
$TSLA +12% AH post earnings!
Something funny to note.
The AH price is *exactly* at the nadir in the 01 NOV implied volatility smile (as of 400pm).
Probably just a coincidence..?
Rough day for $GEO prison stock after presidential debate. Stock is down 6.8%, *perhaps* on theory that a "soft on crime" admin may win. Note the VERY similar IV peak 15 NOV for $GEO and $DJT. Election "risk"?
@TicTocTick
@michaeljburry
$FFIE Still on Reg SHO, still wild IV surface. 11 OCT and 15 NOV expirations are the "twin peaks" of vol; almost 250% IV!
@FINRA
@SECGov
@FaradayFuture
@StockMKTNewz
$SNOW down 3% AH on convertible debt news.
Choppy vol surface at 4pm pre-news.
Near term smile symmetric but some size in the spreads (zoom in).
Big IV bump for DEC earnings.
Follow up on $ASTS, down 4% today. Options ivol surface is *crazy*. Why? Sept smiles well behaved. But Oct/Nov have wild pricing and wide spreads. Partly, dealer 400pm positioning, not wanting to be caught offsides AH. Flat ATM term ivol around 140%!
@CNBCFastMoney
$ASTS up 6.7% as options traders focus on near term expirations. 20 SEP ATM IV over 180%! Term in steep backwardation. You can see this vol from space!
$BBY up 15% today. Volbox scatter plot lets you see the full surface by contract. See the new contracts opening up in the monthlies from 18 Oct and beyond.
As we explain in our blog on call skew, higher IV for OTM calls reflects some combination of:
1) Buyer demand
2) Market maker risk management (raising prices to compensate for their risk)
See for example, the IV chart for iShares Silver Trust, $SLV:
New blog out re Funny Looking Volatility Surfaces:
Tickers we discuss: $PG, $GOLD, $FDX, $APAM, and $SAVA
Check it out, and don't forget the first month is free!
~ Volbox Team
$AAOI Applied Optoelectronics Inc down 7.5% today.
The options market expects more volatility as we approach earnings 14 NOV.
20 DEC ATM IVol over 103%!
$ASTS down 7.89% today.
04 OCT expiration has some positive skew as call prices remain "elevated."
04 OCT ATM IV over 118%, which is comparable to the term structure after NOV earnings.
Space is unpredictable!
$AFRM up 33% See what happens to the vol surface when the spot moves up so much that weekly strikes are not available (yet). Monthlies offer strikes in the $40-$50 range. Vol expected to decline until 13 November earnings, then 75% IV for 15 Nov! Link in bio.
@TheLongInvest
This MUST be true b/c $HIMS has a vol surface like a pharmaceutical! Options traders have pitched a tent at the 15 NOV expiry. Earnings 04 NOV.😮⛺️🕰️
@ripster47
$SAVA vol surface endures with "wave of vol" expected December 2024. One curious feature of $SAVA options is how wide bid/ask spreads persist, even in liquid monthlies (Sep/Oct/Nov). High borrow costs? And no smile! "No smiling" 😐See more at .
@tiffinyfawcett
$SAVA Remember that stock lending and options are two sides of the same coin. Put buyers pay an "implicit" fee comparable to a stock loan fee. But the put fee is fixed, whereas the stock loan fee varies day-to-day (as you document well!).
$INTC up 3% today!
Call buyers have showed up, creating positive skew in the 04 OCT smile. See that long tail over the 30 Strike with 80% IV!
ATM IV peaks 01 NOV after 24 OCT earnings.
VERY flat smile for the 01 NOV expiration.
Anything can happen!
$ASTS with tremendous call skew in the implied volatility surface. The market is quoting above 200% IV for 30 Aug OTM calls. IV "moderates" further out in the term structure, but still above 140% in October! See more at
$CELH + 14%!
As of market close, 18 OCT expiry showed strong call skew.
Big vol event is November earnings, ATM IV > 93%.
Interesting that the vol term structure is in backwardation.
Checking in on $DJT.
So...
08 NOV ATM implied volatility is now over 330%!
This is election vol (03 NOV) + earnings vol (08 NOV)
Flat smile and bid/ask spreads are wide!
Totally normal...?😉
$DNA Ginkgo Bioworks Holdings Inc up another 12% today on news re Google Cloud partnership.
ATM vol 95% and relatively stable through the term structure, despite big swings in OTM Ivol.
$GOOGL
$DJT Debate smile! Over 215% ATM IV for 20 SEP. 2D smile shows steep put skew but long call skew. Options traders and OMMs watching the debate tonight?
#Debatenight
#Trump
#election
$GME up 12% on a perfectly normal trading day.🙃
Call skew persists!
Are call buyers active, or are market makers charging extra to be short calls? 😳
Term structure is perfect contango + call skew all the way through, even APR 2025!?!
See how $RBLX options IV has risen since our post this morning.
Earnings event vol now 78%.
01 NOV: No smile, all put skew, some wide bids at the wings.
$RBLX down 7% after short report from
@HindenburgRes
Vol surface at open shows steep put skew in the 18 OCT smile, but wide and messy bid/ask spreads.
Earnings 31 OCT.
01 NOV ATM IV 82% (even vol).
Note: a little "call tail" in the 25 OCT expiry.
$NIO also up 13% and call skew through the term structure until 2025.
04 OCT shape we call the "Grecian Urn" vol surface.
Over 133% ATM IV, and over 160% in the call wings!
The "China squeeze" continues with $FUTU up 17%!
11 OCT smile in positive skew with tight spreads on the call side. Check out the wide bid/ask in the puts?
ATM IV over 108%!
New strikes opening above spot, see Volbox scatter plot.
"Zhu Ni Hao Yun"
@fute_nukem
Great question! In “vol” terms, puts are more “expensive” than calls. This could indicate demand for puts. Or, OMMs are charging extra to sell puts and be long. A curious feature of the smile is zero call skew. Here is our blog on call skew for context:
$DJT down 3.95% today. Options IV surface still has the dramatic "peak" for 15 NOV. Today we also see unusual shaping in the 04 Oct weekly volatility smile. See more at !