Methodology

End-of-day option quotes and daily underlying bars, with open interest joined from the vendor settlement feed. There are no intraday or real-time values anywhere on this site, and no page has an intraday variant.

Every displayed number carries the session it was computed for. Where a statistic could not be computed, the field reads as unavailable rather than as zero.

A quote is discarded when either side is missing or not positive, when the market is crossed, or when the spread is both wide relative to the mid and wider than a few ticks in absolute terms.

The absolute test matters. A legitimate 25-delta wing quoted five cents by ten cents has a relative spread of 67% while being one tick wide, and a purely relative rule deletes exactly the strikes the site exists to measure.

A contract is also discarded when it has no open interest and no volume, but only when the open interest is known to be zero. A contract listed today has no prior settlement and therefore no open interest record at all, which is a different fact from having none, and treating the two alike deletes every quote on a newly listed expiration on its first day.

For each expiration the forward is derived from put-call parity, F = K + e^(rT)(C − P), taken at the strike where the call and put mids are closest. The rate is the published Treasury par yield for the matching tenor, converted from its semiannual bond-equivalent quote to a continuously compounded rate.

Because parity is an identity, every two-sided strike should imply the same forward. The nearest few are compared against each other; a strike that disagrees with the consensus is excluded as a bad quote rather than being allowed to move the answer, and an expiration whose near-the-money strikes have no consensus at all is not published.

Dividends and borrow cost are never modelled separately. The parity forward already contains both.

Volatilities are solved from Black-76 on the forward, not Black-Scholes on the underlying close, using out-of-the-money quotes only: calls above the forward, puts below it. A deep in-the-money option is almost all intrinsic value, so its price carries little volatility information while carrying the full width of a wide market.

A quote whose implied volatility does not solve, or solves below 1% or above 300%, is discarded and the reason recorded.

Within an expiration a shape-preserving piecewise cubic curve is fitted through the surviving points in log-moneyness normalised by volatility and the square root of time. A natural cubic spline is not used: it overshoots on sparse or unevenly spaced ladders and manufactures curvature that no quote supports.

The normalising volatility is both an input to that fit and an output of it, so it is solved by iteration rather than assumed. At-the-money means delta 0.50 on the forward, which sits slightly above the forward rather than at it.

Wings are never extrapolated. A 25-delta reading is published only where surviving quotes bracket that delta on both sides. Where they do not, the field is unavailable and the reason is recorded against the session.

The 30, 60, 90 and 180-day readings are interpolated between the two listed expirations that bracket each tenor. Interpolation is linear in total variance, meaning volatility squared times time, and never in volatility, which would admit a negative forward variance between two expirations.

A tenor beyond the longest or shortest listed expiration is reported as unavailable. Nothing on this site is extrapolated past the range of contracts that actually trade.

Rank is the current reading minus the minimum, divided by the range, over the lookback window. Percentile is the share of observations below the current reading. Both are computed over 252 and 504 trading days.

Neither is published unless the window holds at least 180 observations. A percentile from a short history is not a weaker number but a misleading one.

It does not rate, recommend or characterise any option or any trade. It reports where a measurement sits relative to its own history and leaves the interpretation to the reader.

It does not offer position tracking, portfolio import, probability calculators or trade construction.