Volatility: IV smile, term structure and skew
Three panels of the GEX workspace read the volatility surface of the loaded option chain: the IV smile for one expiry, the ATM term structure across expiries, and the 25-delta skew recorded through the session. Each one states what it measured and refuses to fill gaps.
Senzoukria · Documentation · Updated September 2026
Where to find it
- Where
- GEX page (/gex) — IV Smile, IV Term Structure and 25Δ skew · session panels
- Smile window
- Strikes within ±5% of spot; the wing skew is read at spot × 0.95 and spot × 1.05
- Flat tolerance
- 0.5 vol point — below it, two ATM IVs are treated as equal and the term structure reads flat
- Skew history
- Session only, one point per minute, not persisted between app launches
- Rank threshold
- No rank is shown below 6 recorded points
What it does
The IV Smile panel plots implied volatility against strike for one expiration, chosen in the picker at the top right of the panel. Strikes further than 5% from spot are dropped from the drawing, puts (below spot) and calls (at or above spot) are drawn as two coloured segments, and a dashed vertical line marks spot. The panel title carries the ATM IV, taken from the quoted point closest to spot — not from a fitted curve.
Under the curve the panel prints a ±5% wing skew: the implied volatility interpolated at spot × 0.95 minus the one interpolated at spot × 1.05. A positive number means puts are paid above calls. Both legs are linearly interpolated between the two quoted strikes that surround them, and the panel says so in the line itself. When either wing falls outside the quoted strike range, nothing is extrapolated and the panel prints that no wing skew was measured.
IV Term Structure plots ATM implied volatility against days to expiry and writes a one-line verdict below the curve: inverted (backwardation), contango, humped, flat, or not enough expirations to read a shape. The verdict carries front minus back in vol points. A hump is named with the expiry where it sits, because a dated event paid on one expiry and not its neighbours is the only thing that shape can mean.
The 25Δ skew · session panel records the skew through the session and draws it as a line with a zero axis, because a skew number alone says nothing until it moves. When the provider publishes no 25-delta skew, the panel computes one from the smile instead and labels the header "computed" with the expiry used.
Settings
| Setting | Default | What it changes |
|---|---|---|
| Expiration picker (IV Smile) | The selected expiry, otherwise the first smile in the snapshot | Which expiration's smile is drawn; the option labels show the date and the days to expiry |
| Smile strike window | ±5% of spot | Strikes outside the window are excluded from the drawing; with fewer than two of them the curve is simply not drawn. The written notice, 'Not enough strikes with IV data for this expiration', counts the quoted points of the expiry, before the window |
| Wing width | 5% of spot | Where the two wing legs are interpolated for the wing skew |
| Flat tolerance (term structure) | 0.005 (0.5 vol point) | Below this gap the shape reads flat; a hump must clear the tolerance above both ends |
| Minimum expiries | 2 with an ATM IV | Below that the term panel says a shape cannot be read |
| Skew rank threshold | 6 points | Under six recorded points the session rank is withheld and the panel says so |
How to use it
- Read the term structure first: an inverted curve, front paid above back, is the one volatility reading that needs no model assumption — two published IVs compared.
- Use the hump verdict to locate a dated event. The panel names the expiry in days, so it can be matched against the economic calendar in the News terminal.
- Switch expirations in the smile picker to compare the near-dated shape with a further one, and read the wing skew line rather than the curve's slope by eye.
- Treat the session skew line as a movement, not a level: the footer prints how many points it holds, over what duration, and the range covered.
Limits and pitfalls
The wing skew is not the 25-delta skew. The IV points carry no delta, so a 25-delta skew cannot be recomputed in the app; the measure drawn under the smile uses fixed moneyness wings and is named differently for that reason.
The skew history lives in the session only. It is not persisted, so closing the app empties it, and the percentage printed next to it ranks the current point against the points observed today — never against a historical percentile the app does not hold.
Every panel depends on an options source being configured and on that provider publishing implied volatility. Market data is billed by the provider, and expiries without an ATM IV are left out of the term structure rather than interpolated.
Related pages
This page in other languages
Frequently asked questions
- Why does the IV smile sometimes say no wing skew was measured?
- Because one of the two ±5% wings falls outside the range of strikes the chain actually quotes. Rather than extrapolate an implied volatility for a strike nobody quotes, the panel states that the measurement was not possible.
- Why is the session skew rank missing?
- The rank appears only from six recorded points onward. Under that count the panel prints the number of points it holds and says no rank is available yet — a percentile computed on a handful of samples is not a percentile.
- What does the 'computed' label in the skew header mean?
- The option chain published no 25-delta skew, so the value was derived from a smile instead. The header then reads 'computed', followed by the days to expiry of the smile used, and adds 'edge of smile' when that smile does not reach far enough.