Comparing Options Wing Implied Volatility with At-the-Money Volatility

Summary

This product-feature note introduces a chart comparing implied volatility in option wings with at-the-money implied volatility. Users can select an option delta and days to expiry, then inspect the wing-to-ATM volatility ratio. The example states that ETH 25-delta puts at a 30-day expiry are trading at about 1.15 times at-the-money implied volatility, indicating richer implied volatility in those downside options.

The comparison can help traders assess structures such as put spreads, butterflies, and 1-by-2 ratio trades. Its practical use is to make relative skew visible for a chosen maturity and delta, rather than to provide a trading signal or forecast. The note does not explain how the chart’s volatility inputs are calculated, discuss liquidity or execution, or provide historical tests showing that any strategy based on the ratio is profitable. The example is a snapshot and should not be treated as a general or persistent relationship.

Key ideas

• The chart expresses selected wing implied volatility as a multiple of at-the-money implied volatility.
• Users can choose option delta and days to expiry for the comparison.
• The example describes ETH 25-delta puts at 30 days as trading around 1.15 times ATM volatility.
• The relative-volatility view may inform spreads, butterflies, and ratio structures.
• The feature note provides no strategy test or evidence of future returns.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.