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SPXW options analytics

SPXW · Index

Data as of 7 October 2024 (end of day)

SPXW options are pricing a 30-day at-the-money volatility of 17.2%, a move of about ±4.9% over the next month. Its history here is 3 sessions, short of the 180 a percentile needs, so this reading is not yet ranked against its own past.

Its 25-delta puts carry 7.27 volatility points more than the calls.

The term structure is inverted: 90-day volatility is 9% below 30-day, which happens when the market prices something dated into the nearer expirations.

Current readings

30-day ATM implied volatilityⓘ
17.16%

Prices a move of about ±4.9% over 30 days, or ±1.1% on a typical day.

25-delta risk reversalⓘ
+7.27

Puts carry 7.27 volatility points more than calls the same distance from the money.

25-delta butterflyⓘ
+0.86

The wings carry 0.86 volatility points more than at-the-money.

Term structure slopeⓘ
0.909

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

Where 30-day implied volatility sits

Against 3 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
$5,695.94
30-day implied forward
$5,722.41
60-day ATM IV
16.26%
90-day ATM IV
15.60%
180-day ATM IV
15.30%
Expirations used
37
Total open interest
3,953,227
Put / call open interest
3.28

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 3 sessions

12%14%16%18%2024-10-03 — 30-day ATM IV 15%2024-10-04 — 30-day ATM IV 13%2024-10-07 — 30-day ATM IV 17%3 Oct4 Oct7 Oct
Show the underlying numbers (most recent 3)
Session30-day ATM IV25-delta RRTerm slopeClose
2024-10-0717.16%+7.270.909$5,695.94
2024-10-0413.22%+5.801.102$5,751.07
2024-10-0314.87%+6.711.035$5,699.94

The chart covers every session in the archive, 3 in total. The table lists the most recent 3.

25-delta risk reversal

Last 3 sessions

-2.00.02.04.06.08.02024-10-03 — 25-delta RR (volatility points) 6.72024-10-04 — 25-delta RR (volatility points) 5.82024-10-07 — 25-delta RR (volatility points) 7.33 Oct4 Oct7 Oct

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

1d (2024-10-08) · 2d (2024-10-09) · 3d (2024-10-10)

10%15%20%25%30%2024-10-08 (1d) — 5Δ C — IV 12.48%2024-10-08 (1d) — 10Δ C — IV 12.92%2024-10-08 (1d) — 15Δ C — IV 13.14%2024-10-08 (1d) — 20Δ C — IV 13.29%2024-10-08 (1d) — 25Δ C — IV 13.51%2024-10-08 (1d) — 30Δ C — IV 13.74%2024-10-08 (1d) — 35Δ C — IV 13.95%2024-10-08 (1d) — 40Δ C — IV 14.17%2024-10-08 (1d) — 45Δ C — IV 14.42%2024-10-08 (1d) — ATM — IV 14.71%2024-10-08 (1d) — 45Δ P — IV 15.01%2024-10-08 (1d) — 40Δ P — IV 15.33%2024-10-08 (1d) — 35Δ P — IV 15.74%2024-10-08 (1d) — 30Δ P — IV 16.19%2024-10-08 (1d) — 25Δ P — IV 16.70%2024-10-08 (1d) — 20Δ P — IV 17.43%2024-10-08 (1d) — 15Δ P — IV 18.13%2024-10-08 (1d) — 10Δ P — IV 19.14%2024-10-08 (1d) — 5Δ P — IV 20.89%1d2024-10-09 (2d) — 5Δ C — IV 12.66%2024-10-09 (2d) — 10Δ C — IV 13.23%2024-10-09 (2d) — 15Δ C — IV 13.65%2024-10-09 (2d) — 20Δ C — IV 14.02%2024-10-09 (2d) — 25Δ C — IV 14.39%2024-10-09 (2d) — 30Δ C — IV 14.82%2024-10-09 (2d) — 35Δ C — IV 15.17%2024-10-09 (2d) — 40Δ C — IV 15.51%2024-10-09 (2d) — 45Δ C — IV 15.85%2024-10-09 (2d) — ATM — IV 16.20%2024-10-09 (2d) — 45Δ P — IV 16.57%2024-10-09 (2d) — 40Δ P — IV 16.93%2024-10-09 (2d) — 35Δ P — IV 17.34%2024-10-09 (2d) — 30Δ P — IV 17.77%2024-10-09 (2d) — 25Δ P — IV 18.27%2024-10-09 (2d) — 20Δ P — IV 18.89%2024-10-09 (2d) — 15Δ P — IV 19.60%2024-10-09 (2d) — 10Δ P — IV 20.56%2024-10-09 (2d) — 5Δ P — IV 22.31%2d2024-10-10 (3d) — 5Δ C — IV 14.13%2024-10-10 (3d) — 10Δ C — IV 14.78%2024-10-10 (3d) — 15Δ C — IV 15.35%2024-10-10 (3d) — 20Δ C — IV 15.90%2024-10-10 (3d) — 25Δ C — IV 16.37%2024-10-10 (3d) — 30Δ C — IV 16.76%2024-10-10 (3d) — 35Δ C — IV 17.22%2024-10-10 (3d) — 40Δ C — IV 17.56%2024-10-10 (3d) — 45Δ C — IV 17.95%2024-10-10 (3d) — ATM — IV 18.37%2024-10-10 (3d) — 45Δ P — IV 18.79%2024-10-10 (3d) — 40Δ P — IV 19.21%2024-10-10 (3d) — 35Δ P — IV 19.53%2024-10-10 (3d) — 30Δ P — IV 20.06%2024-10-10 (3d) — 25Δ P — IV 20.57%2024-10-10 (3d) — 20Δ P — IV 21.27%2024-10-10 (3d) — 15Δ P — IV 22.05%2024-10-10 (3d) — 10Δ P — IV 23.13%2024-10-10 (3d) — 5Δ P — IV 25.26%3d10Δ 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
Delta1d2d3d
5Δ call12.48%12.66%14.13%
10Δ call12.92%13.23%14.78%
15Δ call13.14%13.65%15.35%
20Δ call13.29%14.02%15.90%
25Δ call13.51%14.39%16.37%
30Δ call13.74%14.82%16.76%
35Δ call13.95%15.17%17.22%
40Δ call14.17%15.51%17.56%
45Δ call14.42%15.85%17.95%
ATM14.71%16.20%18.37%
45Δ put15.01%16.57%18.79%
40Δ put15.33%16.93%19.21%
35Δ put15.74%17.34%19.53%
30Δ put16.19%17.77%20.06%
25Δ put16.70%18.27%20.57%
20Δ put17.43%18.89%21.27%
15Δ put18.13%19.60%22.05%
10Δ put19.14%20.56%23.13%
5Δ put20.89%22.31%25.26%

Wing readings by expiration

ExpirationDaysForwardATM IV25Δ put25Δ callRRButterflyQuotes
2024-10-081$5,701.5514.71%16.70%13.51%+3.19+0.3978
2024-10-092$5,702.2016.20%18.27%14.39%+3.88+0.13112
2024-10-103$5,701.9518.37%20.57%16.37%+4.20+0.10126
2024-10-114$5,705.1018.35%21.10%16.16%+4.94+0.28168
2024-10-147$5,705.2015.47%18.07%13.47%+4.59+0.30128
2024-10-158$5,705.5515.55%18.45%13.50%+4.95+0.42131
2024-10-169$5,706.4015.59%18.79%13.44%+5.35+0.52132
2024-10-1710$5,707.1015.74%19.12%13.50%+5.62+0.57128
2024-10-1811$5,709.1515.74%19.29%13.44%+5.85+0.63333
2024-10-2114$5,709.8514.72%18.13%12.53%+5.60+0.61115
2024-10-2215$5,710.7014.83%18.36%12.56%+5.80+0.63116
2024-10-2316$5,711.4514.97%18.63%12.61%+6.02+0.65114
2024-10-2417$5,712.9515.02%18.89%12.61%+6.28+0.73110
2024-10-2518$5,714.8015.23%19.10%12.74%+6.36+0.69179
2024-10-2821$5,715.5014.61%18.41%12.16%+6.24+0.68101
2024-10-2922$5,716.3014.71%18.65%12.21%+6.43+0.7296
2024-10-3023$5,717.2114.82%18.86%12.28%+6.58+0.7592
2024-10-3124$5,718.1414.91%19.17%12.34%+6.83+0.84369
2024-11-0125$5,720.6015.37%19.75%12.71%+7.04+0.86140
2024-11-0428$5,721.1514.84%19.10%12.22%+6.87+0.8269
2024-11-0529$5,722.0114.80%19.07%12.22%+6.85+0.8494
2024-11-0630$5,722.4117.16%21.65%14.38%+7.27+0.8690
2024-11-0731$5,723.2917.46%22.04%14.61%+7.43+0.8762
2024-11-0832$5,725.2017.52%22.15%14.61%+7.54+0.87134
2024-11-1135$5,725.3517.03%21.66%14.22%+7.44+0.9148
2024-11-1539$5,728.1917.05%21.80%14.19%+7.60+0.95354
2024-11-2246$5,731.7116.84%21.60%14.04%+7.55+0.9884
2024-11-2953$5,737.0116.36%21.10%13.65%+7.45+1.02370
2024-12-2074$5,750.1016.11%21.02%13.42%+7.60+1.11312
2024-12-3185$5,757.3815.64%20.54%12.98%+7.56+1.12429
2025-01-17102$5,772.0315.51%20.42%12.90%+7.52+1.15269
2025-01-31116$5,780.9615.41%20.33%12.86%+7.48+1.19260
2025-02-21137$5,791.4515.33%20.26%12.83%+7.43+1.21159
2025-02-28144$5,795.6215.32%20.26%12.83%+7.44+1.22188
2025-03-31175$5,810.9215.31%20.25%12.79%+7.46+1.21277
2025-06-30266$5,859.7015.27%20.30%12.60%+7.71+1.18143
2025-09-30358$5,906.3615.46%20.42%12.68%+7.75+1.0980

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

37 listed expirations produced a usable reading

14%15%16%17%18%19%2024-10-08 — 1 days — at-the-money IV 14.71%2024-10-09 — 2 days — at-the-money IV 16.20%2024-10-10 — 3 days — at-the-money IV 18.37%2024-10-11 — 4 days — at-the-money IV 18.35%2024-10-14 — 7 days — at-the-money IV 15.47%2024-10-15 — 8 days — at-the-money IV 15.55%2024-10-16 — 9 days — at-the-money IV 15.59%2024-10-17 — 10 days — at-the-money IV 15.74%2024-10-18 — 11 days — at-the-money IV 15.74%2024-10-21 — 14 days — at-the-money IV 14.72%2024-10-22 — 15 days — at-the-money IV 14.83%2024-10-23 — 16 days — at-the-money IV 14.97%2024-10-24 — 17 days — at-the-money IV 15.02%2024-10-25 — 18 days — at-the-money IV 15.23%2024-10-28 — 21 days — at-the-money IV 14.61%2024-10-29 — 22 days — at-the-money IV 14.71%2024-10-30 — 23 days — at-the-money IV 14.82%2024-10-31 — 24 days — at-the-money IV 14.91%2024-11-01 — 25 days — at-the-money IV 15.37%2024-11-04 — 28 days — at-the-money IV 14.84%2024-11-05 — 29 days — at-the-money IV 14.80%2024-11-06 — 30 days — at-the-money IV 17.16%2024-11-07 — 31 days — at-the-money IV 17.46%2024-11-08 — 32 days — at-the-money IV 17.52%2024-11-11 — 35 days — at-the-money IV 17.03%2024-11-15 — 39 days — at-the-money IV 17.05%2024-11-22 — 46 days — at-the-money IV 16.84%2024-11-29 — 53 days — at-the-money IV 16.36%2024-12-20 — 74 days — at-the-money IV 16.11%2024-12-31 — 85 days — at-the-money IV 15.64%2025-01-17 — 102 days — at-the-money IV 15.51%2025-01-31 — 116 days — at-the-money IV 15.41%2025-02-21 — 137 days — at-the-money IV 15.33%2025-02-28 — 144 days — at-the-money IV 15.32%2025-03-31 — 175 days — at-the-money IV 15.31%2025-06-30 — 266 days — at-the-money IV 15.27%2025-09-30 — 358 days — at-the-money IV 15.46%7306090180days 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
2024-10-081 day$5,701.5514.71%$5,701.7278
2024-10-092 days$5,702.2016.20%$5,702.61112
2024-10-103 days$5,701.9518.37%$5,702.74126
2024-10-114 days$5,705.1018.35%$5,706.15168
2024-10-147 days$5,705.2015.47%$5,706.51128
2024-10-158 days$5,705.5515.55%$5,707.06131
2024-10-169 days$5,706.4015.59%$5,708.11132
2024-10-1710 days$5,707.1015.74%$5,709.04128
2024-10-1811 days$5,709.1515.74%$5,711.28333
2024-10-2114 days$5,709.8514.72%$5,712.22115
2024-10-2215 days$5,710.7014.83%$5,713.28116
2024-10-2316 days$5,711.4514.97%$5,714.26114
2024-10-2417 days$5,712.9515.02%$5,715.95110
2024-10-2518 days$5,714.8015.23%$5,718.07179
2024-10-2821 days$5,715.5014.61%$5,719.01101
2024-10-2922 days$5,716.3014.71%$5,720.0396
2024-10-3023 days$5,717.2114.82%$5,721.1792
2024-10-3124 days$5,718.1414.91%$5,722.33369
2024-11-0125 days$5,720.6015.37%$5,725.23140
2024-11-0428 days$5,721.1514.84%$5,725.9969
2024-11-0529 days$5,722.0114.80%$5,726.9994
2024-11-0630 days$5,722.4117.16%$5,729.3490
2024-11-0731 days$5,723.2917.46%$5,730.7162
2024-11-0832 days$5,725.2017.52%$5,732.91134
2024-11-1135 days$5,725.3517.03%$5,733.3148
2024-11-1539 days$5,728.1917.05%$5,737.09354
2024-11-2246 days$5,731.7116.84%$5,741.9684
2024-11-2953 days$5,737.0116.36%$5,748.18370
2024-12-2074 days$5,750.1016.11%$5,765.24312
2024-12-3185 days$5,757.3815.64%$5,773.80429
2025-01-17102 days$5,772.0315.51%$5,791.47269
2025-01-31116 days$5,780.9615.41%$5,802.82260
2025-02-21137 days$5,791.4515.33%$5,817.06159
2025-02-28144 days$5,795.6215.32%$5,822.53188
2025-03-31175 days$5,810.9215.31%$5,843.65277
2025-06-30266 days$5,859.7015.27%$5,909.68143
2025-09-30358 days$5,906.3615.46%$5,976.0280

Constant maturities

Interpolated between the bracketing listed expirations, in total variance

30 days
17.16%
60 days
16.26%
90 days
15.60%
180 days
15.30%

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 3 sessions

0.800.901.001.101.202024-10-03 — 90-day over 30-day 1.032024-10-04 — 90-day over 30-day 1.102024-10-07 — 90-day over 30-day 0.913 Oct4 Oct7 Oct

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.