When you consider a multi-leg options strategy, implied volatility (IV) often doesn’t tell the full story. IV works well for single contracts, but it becomes less meaningful when you’re analyzing spreads, straddles, or other multi-leg structures. That’s why Market Chameleon has introduced a smarter way to benchmark strategy costs—by expressing the premium as a percentage of the underlying stock price.
Try it here ? Market Chameleon Strategy Benchmarks
When you’re only dealing with a single option, IV can serve as a good gauge of relative cost. But multi-leg strategies are a different ballgame. Each leg might carry a different implied volatility, making it difficult—if not impossible—to see the full picture by relying on IV alone.
Market Chameleon offers a fresh approach:
Premium as a percentage of spot price
Converting premiums into percentages takes away confusion. A $5 spread on a $10 stock isn’t the same as it is on a $200 stock, but 2% of either price is instantly comparable.
Constant maturities
Whether you prefer 30-, 60-, or 90-day strategies, making comparisons apples-to-apples means tracking data over time becomes more meaningful.
Strike distances in percent, not points
Defining strike distances as “5% out-of-the-money” (instead of flat dollar figures) ensures that you’re comparing equivalent strategy structures across stocks with different price levels.
For instance, consider a 30-day call spread on Google (GOOG), from at-the-money to 5% out-of-the-money. If today’s premium equals 1.9% of the stock price, how does that stack up against the past?
Historical average: 1.9%
Current ranking: 62% of observations were below the current cost
What it means for you: Current premium is higher than what you’ve seen in over half of past observations
With these benchmarks, it’s so much easier to judge where today falls in the context of history—and that's invaluable to your analysis process.
Benchmarking strategy costs: You get an intuitive sense of relative pricing across instruments.
Instant historical context: You’re not just looking at today’s cost—you’re placing it in relation to where it’s been.
More informed decisions: Armed with this context, you can evaluate strategies with greater clarity and prioritize further research efficiently.
Understanding multi-leg options strategies requires more than a single metric. With Market Chameleon’s percentage-based strategy benchmarking, you gain a clearer, more standardized view of premium costs across different setups and securities.
If you want a smarter way to assess whether a strategy is historically cheap, expensive, or typical, this tool earns its place in your analytical toolkit.
Try the tool now ? https://marketchameleon.com/Overview/GOOG/Option-Strategy-Benchmarks/Summary/
Disclosure: Market Chameleon is not a registered investment adviser or broker-dealer. This blog is intended for informational and educational purposes only and does not constitute financial advice. Please conduct your own analysis or consult a qualified professional before making trading decisions.