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NDX options analytics

NDX · Index

Data as of 24 September 2026 (end of day)

NDX options are pricing a 30-day at-the-money volatility of 18.4%, a move of about ±5.3% over the next month. Its history here is 28 sessions, short of the 180 a percentile needs, so this reading is not yet ranked against its own past.

Its 25-delta puts carry 3.85 volatility points more than the calls.

Longer-dated options carry more: 90-day volatility is 9% above 30-day.

Current readings

30-day ATM implied volatilityⓘ
18.38%

Prices a move of about ±5.3% over 30 days, or ±1.2% on a typical day.

25-delta risk reversalⓘ
+3.85

Puts carry 3.85 volatility points more than calls the same distance from the money.

25-delta butterflyⓘ
+0.70

The wings carry 0.70 volatility points more than at-the-money.

Term structure slopeⓘ
1.087

90-day volatility is 9% above 30-day.

Where 30-day implied volatility sits

Against 28 prior sessions (one-year window)

Not enough history in this window to place the current reading.

IV percentile, 1 year
—
IV rank, 1 year
—
IV percentile, 2 years
—
IV rank, 2 years
—

Rank is the position between the lowest and highest readings in the window, so a single past extreme pins everything after it near one end. Percentile is the share of sessions below the current reading and is unaffected by how far that extreme reached. Both are withheld when the window holds fewer than 180 sessions.

Session detail

Underlying close
$30,478.86
30-day implied forward
$30,564.84
60-day ATM IV
19.62%
90-day ATM IV
19.99%
180-day ATM IV
20.78%
Expirations used
10
Total open interest
104,793
Put / call open interest
1.23

The forward is derived from put-call parity on the strikes nearest the money, not taken from the underlying close. It is what every moneyness and delta on this page is measured against.

30-day at-the-money implied volatility

Last 28 sessions

16%17%18%19%20%2026-08-17 — 30-day ATM IV 18%2026-08-18 — 30-day ATM IV 19%2026-08-19 — 30-day ATM IV 19%2026-08-20 — 30-day ATM IV 20%2026-08-21 — 30-day ATM IV 19%2026-08-24 — 30-day ATM IV 19%2026-08-25 — 30-day ATM IV 19%2026-08-26 — 30-day ATM IV 18%2026-08-27 — 30-day ATM IV 18%2026-08-28 — 30-day ATM IV 17%2026-08-31 — 30-day ATM IV 17%2026-09-01 — 30-day ATM IV 18%2026-09-02 — 30-day ATM IV 18%2026-09-03 — 30-day ATM IV 17%2026-09-04 — 30-day ATM IV 17%2026-09-08 — 30-day ATM IV 18%2026-09-09 — 30-day ATM IV 19%2026-09-10 — 30-day ATM IV 20%2026-09-11 — 30-day ATM IV 17%2026-09-14 — 30-day ATM IV 18%2026-09-15 — 30-day ATM IV 18%2026-09-16 — 30-day ATM IV 19%2026-09-17 — 30-day ATM IV 17%2026-09-18 — 30-day ATM IV 16%2026-09-21 — 30-day ATM IV 18%2026-09-22 — 30-day ATM IV 18%2026-09-23 — 30-day ATM IV 18%2026-09-24 — 30-day ATM IV 18%17 Aug26 Aug4 Sep15 Sep24 Sep
Show the underlying numbers (most recent 28)
Session30-day ATM IV25-delta RRTerm slopeClose
2026-09-2418.38%+3.851.087$30,478.86
2026-09-2318.18%+4.141.096$30,470.29
2026-09-2217.65%+3.311.112$30,732.40
2026-09-2117.63%+3.321.115$30,482.35
2026-09-1816.29%+4.761.170$29,644.17
2026-09-1716.84%+4.751.148$29,446.98
2026-09-1618.62%+6.371.090$28,945.06
2026-09-1518.30%+6.401.095$28,937.84
2026-09-1418.20%+6.011.094$29,127.16
2026-09-1117.45%+5.371.140$29,368.44
2026-09-1019.72%+6.211.058$29,103.51
2026-09-0918.85%+5.311.082$29,421.55
2026-09-0818.28%+4.791.102$29,507.70
2026-09-0416.93%+4.241.144$29,544.16
2026-09-0316.94%+4.161.131$29,482.32
2026-09-0217.60%+5.251.101$29,143.33
2026-09-0118.08%+5.641.081$29,077.22
2026-08-3116.71%+4.301.133$29,456.97
2026-08-2816.81%+3.981.141$29,433.43
2026-08-2717.61%+3.971.124$29,641.56
2026-08-2618.39%+4.351.101$29,224.52
2026-08-2518.63%+4.441.091$29,209.23
2026-08-2419.25%+4.771.073$29,023.18
2026-08-2118.68%+4.441.113$29,308.86
2026-08-2019.57%+5.381.083$29,213.17
2026-08-1918.68%+4.641.115$29,426.02
2026-08-1819.16%+5.131.105$29,490.96
2026-08-1718.20%+4.441.143$29,995.38

The chart covers every session in the archive, 28 in total. The table lists the most recent 28.

25-delta risk reversal

Last 28 sessions

-2.00.02.04.06.08.02026-08-17 — 25-delta RR (volatility points) 4.42026-08-18 — 25-delta RR (volatility points) 5.12026-08-19 — 25-delta RR (volatility points) 4.62026-08-20 — 25-delta RR (volatility points) 5.42026-08-21 — 25-delta RR (volatility points) 4.42026-08-24 — 25-delta RR (volatility points) 4.82026-08-25 — 25-delta RR (volatility points) 4.42026-08-26 — 25-delta RR (volatility points) 4.42026-08-27 — 25-delta RR (volatility points) 4.02026-08-28 — 25-delta RR (volatility points) 4.02026-08-31 — 25-delta RR (volatility points) 4.32026-09-01 — 25-delta RR (volatility points) 5.62026-09-02 — 25-delta RR (volatility points) 5.32026-09-03 — 25-delta RR (volatility points) 4.22026-09-04 — 25-delta RR (volatility points) 4.22026-09-08 — 25-delta RR (volatility points) 4.82026-09-09 — 25-delta RR (volatility points) 5.32026-09-10 — 25-delta RR (volatility points) 6.22026-09-11 — 25-delta RR (volatility points) 5.42026-09-14 — 25-delta RR (volatility points) 6.02026-09-15 — 25-delta RR (volatility points) 6.42026-09-16 — 25-delta RR (volatility points) 6.42026-09-17 — 25-delta RR (volatility points) 4.72026-09-18 — 25-delta RR (volatility points) 4.82026-09-21 — 25-delta RR (volatility points) 3.32026-09-22 — 25-delta RR (volatility points) 3.32026-09-23 — 25-delta RR (volatility points) 4.12026-09-24 — 25-delta RR (volatility points) 3.817 Aug26 Aug4 Sep15 Sep24 Sep

The dashed line marks zero, where the 25-delta put and call carry the same implied volatility.

Skew curve

Implied volatility by delta, front expirations

Implied volatility by delta

22d (2026-10-16) · 57d (2026-11-20) · 85d (2026-12-18)

10%15%20%25%30%35%2026-10-16 (22d) — 5Δ C — IV 16.24%2026-10-16 (22d) — 10Δ C — IV 16.13%2026-10-16 (22d) — 15Δ C — IV 16.12%2026-10-16 (22d) — 20Δ C — IV 16.18%2026-10-16 (22d) — 25Δ C — IV 16.30%2026-10-16 (22d) — 30Δ C — IV 16.46%2026-10-16 (22d) — 35Δ C — IV 16.71%2026-10-16 (22d) — 40Δ C — IV 16.94%2026-10-16 (22d) — 45Δ C — IV 17.16%2026-10-16 (22d) — ATM — IV 17.43%2026-10-16 (22d) — 45Δ P — IV 17.78%2026-10-16 (22d) — 40Δ P — IV 18.12%2026-10-16 (22d) — 35Δ P — IV 18.55%2026-10-16 (22d) — 30Δ P — IV 19.09%2026-10-16 (22d) — 25Δ P — IV 19.76%2026-10-16 (22d) — 20Δ P — IV 20.63%2026-10-16 (22d) — 15Δ P — IV 21.86%2026-10-16 (22d) — 10Δ P — IV 23.80%2026-10-16 (22d) — 5Δ P — IV 27.73%22d2026-11-20 (57d) — 5Δ C — IV 18.31%2026-11-20 (57d) — 10Δ C — IV 18.01%2026-11-20 (57d) — 15Δ C — IV 17.98%2026-11-20 (57d) — 20Δ C — IV 18.06%2026-11-20 (57d) — 25Δ C — IV 18.22%2026-11-20 (57d) — 30Δ C — IV 18.41%2026-11-20 (57d) — 35Δ C — IV 18.62%2026-11-20 (57d) — 40Δ C — IV 18.87%2026-11-20 (57d) — 45Δ C — IV 19.23%2026-11-20 (57d) — ATM — IV 19.55%2026-11-20 (57d) — 45Δ P — IV 19.96%2026-11-20 (57d) — 40Δ P — IV 20.36%2026-11-20 (57d) — 35Δ P — IV 21.00%2026-11-20 (57d) — 30Δ P — IV 21.65%2026-11-20 (57d) — 25Δ P — IV 22.53%2026-11-20 (57d) — 20Δ P — IV 23.69%2026-11-20 (57d) — 15Δ P — IV 25.14%2026-11-20 (57d) — 10Δ P — IV 27.41%2026-11-20 (57d) — 5Δ P — IV 32.01%57d2026-12-18 (85d) — 5Δ C — IV 18.75%2026-12-18 (85d) — 10Δ C — IV 18.45%2026-12-18 (85d) — 15Δ C — IV 18.42%2026-12-18 (85d) — 20Δ C — IV 18.48%2026-12-18 (85d) — 25Δ C — IV 18.64%2026-12-18 (85d) — 30Δ C — IV 18.82%2026-12-18 (85d) — 35Δ C — IV 19.06%2026-12-18 (85d) — 40Δ C — IV 19.34%2026-12-18 (85d) — 45Δ C — IV 19.61%2026-12-18 (85d) — ATM — IV 19.97%2026-12-18 (85d) — 45Δ P — IV 20.41%2026-12-18 (85d) — 40Δ P — IV 20.81%2026-12-18 (85d) — 35Δ P — IV 21.49%2026-12-18 (85d) — 30Δ P — IV 22.27%2026-12-18 (85d) — 25Δ P — IV 23.08%2026-12-18 (85d) — 20Δ P — IV 24.27%2026-12-18 (85d) — 15Δ P — IV 25.81%2026-12-18 (85d) — 10Δ P — IV 28.21%2026-12-18 (85d) — 5Δ P — IV 33.10%85d10Δ C25Δ CATM25Δ P10Δ Pout-of-the-money calls ← delta → out-of-the-money puts

The axis is call delta. Readings to the right of the dashed centre line are taken from the out-of-the-money put at that strike, which is the contract whose quote the volatility was solved from. Points are only plotted where surviving quotes bracket the delta on both sides; nothing is extrapolated past the last traded strike.

Show the underlying numbers
Delta22d57d85d
5Δ call16.24%18.31%18.75%
10Δ call16.13%18.01%18.45%
15Δ call16.12%17.98%18.42%
20Δ call16.18%18.06%18.48%
25Δ call16.30%18.22%18.64%
30Δ call16.46%18.41%18.82%
35Δ call16.71%18.62%19.06%
40Δ call16.94%18.87%19.34%
45Δ call17.16%19.23%19.61%
ATM17.43%19.55%19.97%
45Δ put17.78%19.96%20.41%
40Δ put18.12%20.36%20.81%
35Δ put18.55%21.00%21.49%
30Δ put19.09%21.65%22.27%
25Δ put19.76%22.53%23.08%
20Δ put20.63%23.69%24.27%
15Δ put21.86%25.14%25.81%
10Δ put23.80%27.41%28.21%
5Δ put27.73%32.01%33.10%

Wing readings by expiration

ExpirationDaysForwardATM IV25Δ put25Δ callRRButterflyQuotes
2026-10-1622$30,538.2717.43%19.76%16.30%+3.46+0.60227
2026-11-2057$30,654.6619.55%22.53%18.22%+4.32+0.82176
2026-12-1885$30,753.6419.97%23.08%18.64%+4.44+0.88188
2027-01-15113$30,886.0820.03%23.31%18.71%+4.61+0.9892
2027-02-19148$31,021.9820.38%23.57%19.02%+4.55+0.9165
2027-03-19176$31,128.1820.74%23.99%19.44%+4.55+0.9897
2027-04-16204$31,243.7621.01%24.25%19.71%+4.54+0.9839
2027-05-21239$31,384.6421.42%24.68%20.17%+4.51+1.0019
2027-06-17266$31,507.9521.50%24.79%20.23%+4.56+1.02102
2027-09-17358$31,916.0221.91%25.24%20.59%+4.66+1.0154

Each curve above is one expiration. The vertical position is implied volatility; the horizontal position is the delta of the contract it was read from. For US equities the curve normally slopes upward to the right, meaning out-of-the-money puts carry higher implied volatility than equidistant calls.

The 25-delta risk reversal summarises that slope as a single number: the 25-delta put volatility minus the 25-delta call volatility. The butterfly summarises the curvature: the average of the two wings minus the at-the-money reading.

Term structure

At-the-money implied volatility by expiration

At-the-money implied volatility by expiration

10 listed expirations produced a usable reading

16%18%20%22%24%2026-10-16 — 22 days — at-the-money IV 17.43%2026-11-20 — 57 days — at-the-money IV 19.55%2026-12-18 — 85 days — at-the-money IV 19.97%2027-01-15 — 113 days — at-the-money IV 20.03%2027-02-19 — 148 days — at-the-money IV 20.38%2027-03-19 — 176 days — at-the-money IV 20.74%2027-04-16 — 204 days — at-the-money IV 21.01%2027-05-21 — 239 days — at-the-money IV 21.42%2027-06-17 — 266 days — at-the-money IV 21.50%2027-09-17 — 358 days — at-the-money IV 21.91%306090180days to expiration

The horizontal axis is the square root of days to expiration, which is the scale volatility lives on. A curve that is flat in variance terms plots as a straight line here rather than bending sharply through the front week.

Show the underlying numbers
ExpirationDaysForwardATM IVATM strikeQuotes used
2026-10-1622 days$30,538.2717.43%$30,566.25227
2026-11-2057 days$30,654.6619.55%$30,746.31176
2026-12-1885 days$30,753.6419.97%$30,896.82188
2027-01-15113 days$30,886.0820.03%$31,078.4192
2027-02-19148 days$31,021.9820.38%$31,284.4165
2027-03-19176 days$31,128.1820.74%$31,452.6797
2027-04-16204 days$31,243.7621.01%$31,631.4039
2027-05-21239 days$31,384.6421.42%$31,859.4819
2027-06-17266 days$31,507.9521.50%$32,043.08102
2027-09-17358 days$31,916.0221.91%$32,676.1454

Constant maturities

Interpolated between the bracketing listed expirations, in total variance

30 days
18.38%
60 days
19.62%
90 days
19.99%
180 days
20.78%

Interpolation is linear in total variance, not in volatility. Interpolating volatility directly implies a forward variance that can be negative between two expirations. A tenor beyond the longest listed expiration is reported as unavailable rather than extrapolated.

Term structure slope

Last 28 sessions

0.951.001.051.101.151.202026-08-17 — 90-day over 30-day 1.142026-08-18 — 90-day over 30-day 1.102026-08-19 — 90-day over 30-day 1.112026-08-20 — 90-day over 30-day 1.082026-08-21 — 90-day over 30-day 1.112026-08-24 — 90-day over 30-day 1.072026-08-25 — 90-day over 30-day 1.092026-08-26 — 90-day over 30-day 1.102026-08-27 — 90-day over 30-day 1.122026-08-28 — 90-day over 30-day 1.142026-08-31 — 90-day over 30-day 1.132026-09-01 — 90-day over 30-day 1.082026-09-02 — 90-day over 30-day 1.102026-09-03 — 90-day over 30-day 1.132026-09-04 — 90-day over 30-day 1.142026-09-08 — 90-day over 30-day 1.102026-09-09 — 90-day over 30-day 1.082026-09-10 — 90-day over 30-day 1.062026-09-11 — 90-day over 30-day 1.142026-09-14 — 90-day over 30-day 1.092026-09-15 — 90-day over 30-day 1.102026-09-16 — 90-day over 30-day 1.092026-09-17 — 90-day over 30-day 1.152026-09-18 — 90-day over 30-day 1.172026-09-21 — 90-day over 30-day 1.112026-09-22 — 90-day over 30-day 1.112026-09-23 — 90-day over 30-day 1.102026-09-24 — 90-day over 30-day 1.0917 Aug26 Aug4 Sep15 Sep24 Sep

The dashed line marks 1.00, where the 90-day and 30-day at-the-money volatilities are equal. Above it the longer tenor carries the higher volatility.

The term structure is the at-the-money implied volatility of each listed expiration, plotted against how far away that expiration is. Its usual shape for a calm underlying slopes gently upward, because a longer horizon admits more uncertainty.

It inverts when the market prices a dated event: an expiration that captures a scheduled announcement carries the variance of that event on top of ordinary trading, so a shorter contract can print a higher volatility than a longer one.