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Volatility Tools & Resources

by | Mar 23, 2021 | Options Tools

CBOE Skew Index – A measure of complacency/fear in the options markets. The CBOE issued a whitepaper on the index here

VIX Term Structure – VIX term structure is the relationship between VIX futures prices and maturity dates. It is said to be in Contango when VIX futures are priced higher than the VIX spot and in Backwardation when the relationship is reversed. For both Contango and Backwardation, the term structure curve can also take the shape of either concave up or concave down, depends on whether the mid-term futures prices are closer to the short-term prices or to the long-term prices.

Implied Volatility Screener/Ranker – Market Chameleon is a great source for various options data filtering/researching