OPTIONS ANALYTICS · GASALPHA

Equity Vol Analyzer

Term Structure · Smile · Skew · Calendar · Butterfly · HMM · GARCH · OU

TICKER

SPOT $

IV RANK %

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Load data to detect vol regime

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P(Low)

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P(Normal)

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P(Crisis)

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Regime Z

Spot

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ATM IV (M1)

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vs RV30: —

IV Rank

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52-week percentile

Skew (25Δ)

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Put IV − Call IV

OU IV Prem Z

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HL: —

Term Slope

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M1 vs M6 IV diff

SESSIONS

IV Term Structure — ATM IV by Expiration

IV Premium vs RV30 by Expiration

Term Structure Table

Expiry	DTE	ATM IV	Call IV (25Δ)	Put IV (25Δ)	Skew	RV30	IV Prem	IV Rank	Signal

Vol Smile — Select Expiry:

IV vs Strike

IV vs Delta

Call IV vs Put IV Spread by Strike

Strike Detail Table

Strike	Delta	Call IV	Put IV	C/P Spread	Call Price	Put Price	Straddle $	BE Move %	Signal

25Δ Put/Call Skew by Expiration

Skew Z-Score vs Historical Mean

Skew Table

Expiry	DTE	25Δ Put IV	25Δ Call IV	Skew	Skew Z	Hist Avg	Percentile	Signal

Calendar Spread Opportunities — IV Differential by Month Pair

Theta Decay Comparison — Front vs Back Month

Calendar Spread Table

Spread	Front IV	Back IV	IV Diff	IV Diff Z	Front Theta	Back Theta	Cost	Max Profit

Structure Builder — Iron Condor / Butterfly / Spread

P&L at Expiration

Live Greeks — Portfolio Level

Edge Analysis — Mark-to-Model & Mark-to-Market

Delta-Neutral Hedge

Full Options Data

Expiry	DTE	Strike	Δ	Call IV	Put IV	Skew	Call $	Put $	Straddle $	BE%	RV30	IV Prem	Pctile

HMM Vol Regime — 120-Day IV Path

Regime Posterior Probabilities

Transition Matrix

OU Mean Reversion — IV Premium (IV − RV30)

Reversion Probability Table

Horizon	E[IV Prem]	±1σ	P(Revert to Mean)	P(Premium Collapses)

GARCH(1,1) Conditional Volatility

GARCH vs Simple Vol Z-Score

10-Day Variance Forecast

VOL FITTER base: atm/rr/fly · kinks: local Δ control · drag curve

EXPIRIES

Drag near ● to move kink locally · drag elsewhere for atm/rr/fly · puts=orange · calls=purple

ALL EXPIRIES OVERLAY

Enter market IVs (%) or paste strike,IV pairs

Paste strike,IV pairs (one per line):

ARBITRAGE CHECK — butterfly ≥0 and calendar ≥0

User Guide — Equity Vol Analyzer

Data Format

Upload a CSV with columns: expiry, strike, call_iv, put_iv, call_price, put_price, delta, rv10, rv30

expiry = date string (e.g. "Apr-18-2025"), strike = dollar strike, IV fields = decimal (0.42 = 42%), delta = 0 to 1.

Key signals

• Term Structure: flat or inverted = expensive front month, sell M1 / buy M2 calendar

• Vol Smile: steep call skew on retail names = sell OTM call spreads. Steep put skew = sell put spreads or iron condors.

• Calendar Spreads: IV Diff Z > +1.5σ = front month expensive vs back, sell front / buy back

• Spread Builder: iron condor for high IV rank (above 70%), butterfly when expecting pin, calendar when term structure is steep

• HMM: trade only in Low or Normal regime. Crisis = avoid selling vol.

• OU: IV premium > +2σ above mean = strong sell signal. Mean-reverts with ~10-15 day half-life in equities.

• GARCH: if GARCH vol > 1.2x simple vol, a recent shock may inflate realized vol — wait before selling.