Options Skew Analytics

SPXW option chain

Strikes around the forward, as they were quoted at the close

Data as of 7 October 2024 (end of day)

2024-10-08(1 day)ATM 14.71%±43.90skew +3.11
CallsStrikePuts
VolumeOpen intBidAskIV IVBidAskOpen intVolume
3901,350$49.20$65.20—$5,650.0017.98%$4.70$4.809626,522
5637$44.90$61.50—$5,655.0017.54%$5.10$5.503324,193
151428$40.80$56.60—$5,660.0017.36%$6.10$6.206273,058
24326$36.70$51.10—$5,665.0016.95%$6.70$7.102612,454
668156$32.80$46.90—$5,670.0016.58%$7.60$8.002963,300
145684$29.00$44.40—$5,675.0016.29%$8.70$9.101,2235,123
683166$31.40$32.00—$5,680.0015.96%$9.90$10.303524,584
41580$27.70$28.30—$5,685.0015.66%$11.30$11.702182,334
2,186210$24.50$24.90—$5,690.0015.34%$12.80$13.303293,380
1,906237$21.20$21.60—$5,695.0015.07%$14.60$15.103953,179
5,398679$18.20$18.60—$5,700.0014.80%$16.60$17.101,71710,755
1,504135$15.40$15.9014.55%$5,705.00—$18.80$19.305082,586
4,234507$12.90$13.3014.26%$5,710.00—$21.30$21.803913,299
2,119278$10.70$11.1014.07%$5,715.00—$24.00$24.602551,429
4,015725$8.70$9.1013.85%$5,720.00—————
4,345323$7.00$7.4013.68%$5,725.00—————
7,512260$5.50$5.9013.47%$5,730.00—$26.70$41.202664,230
7,433253$4.30$4.6013.30%$5,735.00—$30.50$44.802363,109
5,623417$3.30$3.6013.18%$5,740.00—$34.20$49.503111,092
3,719270$2.55$2.7513.09%$5,745.00—$36.20$53.80154456
12,4071,111$1.95$2.0012.96%$5,750.00—$40.30$56.80288598

Forward $5,701.55. The 25-delta put carries +3.11 volatility points over the 25-delta call.

2024-10-09(2 days)ATM 16.20%±68.38skew +3.98
CallsStrikePuts
VolumeOpen intBidAskIV IVBidAskOpen intVolume
582,921$56.80$71.00—$5,650.0018.31%$11.20$11.602,8632,612
325$52.90$68.50—$5,655.0018.09%$12.20$12.60240449
45103$49.10$64.50—$5,660.0017.92%$13.30$13.806713,107
3862$45.40$60.50—$5,665.0017.71%$14.50$15.00271507
6949$41.80$56.70—$5,670.0017.50%$15.80$16.30301795
70110$38.40$52.90—$5,675.0017.33%$17.30$17.702391,165
133127$40.90$41.50—$5,680.0017.11%$18.80$19.203591,126
69187$31.80$45.70—$5,685.0016.91%$20.40$20.90161493
415148$34.40$34.90—$5,690.0016.73%$22.20$22.70775921
373224$31.30$31.80—$5,695.0016.52%$24.10$24.60160688
1,2641,104$28.30$28.80—$5,700.0016.30%$26.10$26.601,3881,805
439221$25.50$26.0016.11%$5,705.00—$28.30$28.80498481
666338$22.80$23.3015.89%$5,710.00—$30.60$31.20679576
4471,108$20.30$20.8015.70%$5,715.00—$25.60$39.801,159410
987629$17.90$18.4015.47%$5,720.00—$28.00$42.50281463
746622$15.70$16.2015.27%$5,725.00—$30.50$45.50615975
2,586598$13.70$14.1015.06%$5,730.00—$33.20$48.50448925
921237$11.80$12.2014.84%$5,735.00—$36.00$51.80108631
2,812607$10.00$10.4014.57%$5,740.00—$40.80$55.20238211
427238$8.40$8.8014.33%$5,745.00—$42.30$58.804879
4,0771,075$7.00$7.4014.11%$5,750.00—$45.90$62.50263212

Forward $5,702.20. The 25-delta put carries +3.98 volatility points over the 25-delta call.

2024-10-10(3 days)ATM 18.37%±94.94skew +3.32
CallsStrikePuts
VolumeOpen intBidAskIV IVBidAskOpen intVolume
301,887$65.60$80.80—$5,650.0020.03%$20.00$20.502,696858
1228$62.00$77.00—$5,655.0019.87%$21.30$21.80387195
1395$58.50$73.20—$5,660.0019.65%$22.40$23.20471260
334$54.90$69.60—$5,665.0019.51%$23.90$24.70143217
7105$51.60$66.00—$5,670.0019.39%$25.60$26.20990203
16151$48.30$62.40—$5,675.0019.29%$27.40$27.90491400
399387$51.00$51.60—$5,680.0019.13%$29.10$29.60527262
1939$47.60$48.40—$5,685.0018.97%$30.90$31.4099103
33112$44.50$45.30—$5,690.0018.81%$32.80$33.30215504
20076$41.70$42.30—$5,695.0018.65%$34.80$35.30269289
473831$38.80$39.40—$5,700.0018.49%$36.90$37.401,028800
165292$35.70$36.6018.26%$5,705.00—$38.70$39.60196226
11141$33.00$33.9018.10%$5,710.00—$34.00$47.60288159
5371$30.40$31.3017.93%$5,715.00—$43.70$44.309084
130197$27.90$28.8017.76%$5,720.00—$38.50$52.8015375
142784$25.50$26.4017.58%$5,725.00—$40.90$55.50596139
746299$23.30$24.1017.42%$5,730.00—$43.50$58.30325543
809104$21.40$21.9017.30%$5,735.00—$46.10$61.30176930
192433$19.10$19.9017.07%$5,740.00—$48.90$64.3013471
252101$17.10$17.9016.85%$5,745.00—$51.80$67.507922
8781,520$15.50$16.0016.71%$5,750.00—$54.80$70.801,146133

Forward $5,701.95. The 25-delta put carries +3.32 volatility points over the 25-delta call.

2024-10-11(4 days)ATM 18.35%±109.62skew +3.32
CallsStrikePuts
VolumeOpen intBidAskIV IVBidAskOpen intVolume
040$70.20$85.10—$5,655.0020.03%$26.40$26.80671375
20263$66.70$81.40—$5,660.0019.86%$27.70$28.20992629
734$63.20$77.70—$5,665.0019.65%$28.90$29.70410390
12204$59.90$74.10—$5,670.0019.54%$30.70$31.201,973740
67445$56.50$70.60—$5,675.0019.38%$32.30$32.801,285653
80314$59.00$59.50—$5,680.0019.19%$33.90$34.401,166541
54126$55.50$56.40—$5,685.0019.05%$35.70$36.20402256
133277$52.60$53.10—$5,690.0018.88%$37.50$38.002,503943
210241$49.50$50.00—$5,695.0018.71%$39.40$39.90477699
1,9922,932$46.50$47.00—$5,700.0018.55%$41.40$41.903,4092,932
387272$43.60$44.10—$5,705.0018.39%$43.50$44.00469373
4571,099$40.80$41.2018.22%$5,710.00—$45.30$46.30409397
392242$38.00$38.5018.05%$5,715.00—$47.90$48.40591443
496534$35.40$35.9017.90%$5,720.00—$50.30$50.80609421
8701,689$32.90$33.3017.73%$5,725.00—$45.00$59.401,257920
729796$30.40$30.9017.57%$5,730.00—$47.40$62.001,5231,009
1,340273$28.10$28.5017.40%$5,735.00—$49.90$64.705891,692
590782$25.80$26.2017.21%$5,740.00—$52.40$67.60624326
301286$23.40$24.2017.02%$5,745.00—$55.10$70.60255111
4,2326,361$21.60$22.0016.87%$5,750.00—$58.20$73.602,523511
463301$19.70$20.1016.72%$5,755.00—$60.80$76.7052195

Forward $5,705.10. The 25-delta put carries +3.32 volatility points over the 25-delta call.

2024-10-14(7 days)ATM 15.47%±122.22skew +2.77
CallsStrikePuts
VolumeOpen intBidAskIV IVBidAskOpen intVolume
96$75.40$90.20—$5,655.0016.89%$31.20$32.0073151
21104$71.90$86.50—$5,660.0016.76%$32.60$33.50241225
2214$68.50$82.90—$5,665.0016.62%$34.10$34.90139104
2331$65.10$79.30—$5,670.0016.48%$35.60$36.50177145
33119$61.80$75.80—$5,675.0016.34%$37.20$38.10349134
2750$64.00$64.90—$5,680.0016.22%$38.90$39.80220186
7026$60.80$61.70—$5,685.0016.07%$40.60$41.50101138
90116$57.80$58.30—$5,690.0015.94%$42.50$43.30126641
14194$54.70$55.20—$5,695.0015.79%$44.30$45.20128106
524614$51.70$52.10—$5,700.0015.66%$46.50$47.00669598
97106$48.70$49.20—$5,705.0015.51%$48.30$49.207778
67613$45.60$46.5015.37%$5,710.00—$50.50$51.4061109
10948$42.80$43.7015.23%$5,715.00—$45.50$59.40182203
190200$40.10$41.0015.09%$5,720.00—$55.10$55.60220169
205551$37.70$38.1014.94%$5,725.00—$49.80$64.20262149
155186$34.90$35.8014.80%$5,730.00—$52.10$66.70249165
28980$32.50$33.3014.66%$5,735.00—$54.50$69.40165129
239425$30.20$31.0014.53%$5,740.00—$57.00$72.1021562
143201$27.90$28.7014.38%$5,745.00—$59.60$75.0016035
2331,614$25.90$26.3014.23%$5,750.00—$62.90$77.901,45555
191172$23.70$24.5014.11%$5,755.00—$65.10$80.90105204

Forward $5,705.20. The 25-delta put carries +2.77 volatility points over the 25-delta call.

2024-10-15(8 days)ATM 15.55%±131.34
CallsStrikePuts
VolumeOpen intBidAskIV IVBidAskOpen intVolume
06$79.30$94.00—$5,655.0017.00%$34.80$35.70253
34$75.80$90.30—$5,660.0016.87%$36.20$37.2014660
15$72.30$86.70—$5,665.0016.72%$37.70$38.601597
429$68.90$83.10—$5,670.0016.59%$39.20$40.204330
1124$65.60$79.60—$5,675.0016.45%$40.80$41.805228
062$68.00$69.00—$5,680.0016.31%$42.50$43.405321
130$64.70$65.70—$5,685.0016.17%$44.20$45.20219
15174$61.50$62.50—$5,690.0016.04%$46.00$47.0030410
12157$58.40$59.40—$5,695.0015.88%$47.80$48.801631
46337$55.30$56.30—$5,700.0015.75%$49.80$50.7042658
2229$52.30$53.30—$5,705.0015.60%$51.80$52.7017823
88193$49.40$50.4015.47%$5,710.00—$53.80$54.805213
67134$46.60$47.5015.33%$5,715.00—$56.20$56.8011799
128185$43.80$44.8015.19%$5,720.00—$51.10$65.307239
4761,057$41.40$41.9015.06%$5,725.00—$53.90$67.7016779
1376$38.50$39.5014.90%$5,730.00—$55.50$70.103140
2959$36.00$37.0014.77%$5,735.00—$57.90$72.80528
35110$33.60$34.6014.63%$5,740.00—$60.30$75.40176132
7115$31.30$32.2014.49%$5,745.00—$62.90$78.201043
321,319$29.30$29.7014.35%$5,750.00—$65.50$81.001,12129
429$26.90$27.8014.22%$5,755.00—$68.20$84.00151

Forward $5,705.55. Not enough surviving quotes on both wings to measure the skew here.

2024-10-16(9 days)ATM 15.59%±139.70
CallsStrikePuts
VolumeOpen intBidAskIV IVBidAskOpen intVolume
0108$83.50$98.20—$5,655.0017.11%$38.10$39.008661
128$79.90$94.50—$5,660.0016.96%$39.50$40.4013061
0106$76.50$90.90—$5,665.0016.83%$41.00$41.9015310
247$73.00$87.30—$5,670.0016.70%$42.50$43.502746
064$75.40$76.40—$5,675.0016.54%$44.10$45.0025047
049$72.00$73.00—$5,680.0016.41%$45.70$46.709068
818$68.70$69.70—$5,685.0016.26%$47.40$48.40293
37112$65.50$66.50—$5,690.0016.12%$49.20$50.109053
4147$62.30$63.30—$5,695.0015.98%$51.00$52.0020814
59964$59.40$60.10—$5,700.0015.83%$53.10$53.60616139
354$56.20$57.20—$5,705.0015.69%$54.80$55.80528
762$53.20$54.2015.53%$5,710.00—$56.90$57.909148
028$50.40$51.3015.40%$5,715.00—$52.00$65.905429
2466$47.50$48.5015.25%$5,720.00—$54.00$68.1020419
48971$45.10$45.6015.14%$5,725.00—$56.20$70.505430
10346$42.40$42.9014.99%$5,730.00—$58.40$72.90304
5239$39.60$40.5014.84%$5,735.00—$60.70$75.40519
10667$37.10$38.0014.70%$5,740.00—$63.00$78.00122144
1866$34.70$35.6014.56%$5,745.00—$65.50$80.70645
147895$32.50$33.1014.42%$5,750.00—$68.00$83.4072822
1340$30.20$31.1014.31%$5,755.00—$70.60$86.30317

Forward $5,706.40. Not enough surviving quotes on both wings to measure the skew here.

2024-10-17(10 days)ATM 15.74%±148.66
CallsStrikePuts
VolumeOpen intBidAskIV IVBidAskOpen intVolume
06$87.50$102.10—$5,655.0017.25%$41.40$42.402120
334$83.90$98.40—$5,660.0017.11%$42.80$43.905311
02$80.50$94.80—$5,665.0016.97%$44.30$45.30365
525$77.10$91.20—$5,670.0016.84%$45.80$46.90521
06$79.40$80.50—$5,675.0016.69%$47.40$48.4019813
2198$76.10$77.10—$5,680.0016.55%$49.00$50.1010325
366$72.80$73.80—$5,685.0016.42%$50.70$51.801086
19211$69.50$70.60—$5,690.0016.25%$52.60$53.204875
452$66.30$67.40—$5,695.0016.13%$54.30$55.30464
33414$63.20$64.30—$5,700.0015.99%$56.10$57.20114149
10112$60.20$61.20—$5,705.0015.85%$58.10$59.1079103
1565$57.20$58.2015.71%$5,710.00—$60.10$61.10115110
2289$54.20$55.3015.56%$5,715.00—$55.10$69.0015721
2553$51.40$52.4015.42%$5,720.00—$57.10$71.204728
8319$48.60$49.7015.29%$5,725.00—$59.20$73.401415
926$45.90$46.9015.14%$5,730.00—$61.30$75.802839
10656$43.30$44.3015.01%$5,735.00—$63.60$78.309107
8033$40.70$41.8014.88%$5,740.00—$65.90$80.807333
5168$38.30$39.3014.75%$5,745.00—$68.30$83.401495
37154$35.90$36.9014.61%$5,750.00—$70.70$86.00253
623$33.60$34.6014.48%$5,755.00—$73.30$88.80320

Forward $5,707.10. Not enough surviving quotes on both wings to measure the skew here.

How to read this

Calls on the left, puts on the right, the strike between them — the layout every chain uses. Each block is one expiration, and the heading carries its days to expiry, the at-the-money implied volatility, and the one-standard-deviation move that volatility implies over that time.

Only the 21 strikes nearest the forward are stored, which is the part of the board that carries the volume. The shaded side is in the money: below the forward for calls, above it for puts.

Implied volatility is shown on the out-of-the-money side only. An in-the-money option is nearly all intrinsic value quoted on a wide market, so a volatility solved from it would look authoritative and mean very little. The price is still shown, because the price is real; the blank is deliberate.