Straddle and Volatility Compare
Volatility Compare plots each stock in a group by its 30-day implied volatility against a baseline from its own history, such as its 52-week high or 20-day historical volatility. Straddle Compare plots how each stock's at-the-money straddle, 25-delta options or implied volatility changed today against the stock's own move, or the straddle's price in dollars and as a share of the stock price. Premium and Premium Options members can use any group; everyone else can preview the Dow Jones (DIA) group.
What are Straddle Compare and Volatility Compare?
Is a stock's implied volatility high - against its own past, or against its peers? These two pages answer both at once. Pick a group, such as the Dow stocks in DIA, the holdings of a sector ETF, a set of ETFs or one of your watchlists, and each stock becomes a point on one chart, so the outliers stand out. Volatility Compare looks at 30-day implied volatility; Straddle Compare looks at how option prices moved today and how much at-the-money straddles cost.
How the comparisons are worked out
- Groups. DIA - Dow Jones, the holdings of the sector ETFs XLF, XLE, XLU, XLP, XLK, XLV, XLI, XLY and XLB, the ETF groups Sector ETFs, Sector and Broad-Based ETFs, Broad Economy ETFs, Interest Rate-Sensitive ETFs and Commodity and Dollar-Sensitive ETFs, or one of your stock watchlists.
- Volatility Compare. Each stock's current IV30 - implied volatility for a 30-day period - on the vertical axis, against the baseline you pick on the horizontal: the IV30 at the previous close, 20-day or 52-week historical volatility, or IV30's 52-week median, low or high. Green points sit above the diagonal line, at or above the baseline; red points below it.
- Straddle Compare, By Price Change. For one expiration, each stock's change since the previous close on the horizontal axis against the metric you pick: the change in the at-the-money straddle, in the 25-delta put or call, or in at-the-money implied volatility, or the stock's latest earnings straddle result. The options are the ones at the money, or nearest 25 delta, at the previous close, priced at the midpoint of the bid and ask.
- Straddle Compare, By Straddle Premium $. The at-the-money straddle for the expiration, priced from its implied volatility at the stock price - there is rarely a strike exactly there - in dollars on the horizontal axis and as a percentage of the stock price on the vertical.
- Which day. The latest values of the current session; before the open, and on weekends and holidays, the last trading day. Click Reload after changing a choice, and Remove to take a stock off the chart.
Implied volatility above a stock's history, or a straddle that gained today, is not a signal to buy or sell options. The charts show where each stock stands now against its own past and its group.
What you can find out
Which stocks in a sector have implied volatility above their usual level?
In Volatility Compare, pick the sector ETF and the baseline Implied Vol (52-Week Median). Green points above the line have IV30 above that level; the table lists each stock's IV30 with its 52-week median, low and high. Open Volatility Compare
Are options pricing more movement than the stocks have shown?
Choose 20-Day or 52-Week Historical Vol as the baseline: points above the line have implied volatility above the volatility the stock has actually had over that period. Implied and historical volatility
Did implied volatility rise or fall across a group today?
In Volatility Compare, the baseline 30-Day Implied Vol (Prev Close) puts today's IV30 against yesterday's. In Straddle Compare, ATM IV % Change does the same for one expiration, against the stock's move. Compare with the previous close
Which straddles gained or lost the most today, given the stock's move?
In Straddle Compare, keep ATM Straddle Price 1-Day % Change. Points high on the chart gained; a straddle usually gains on a big move either way and loses value on a quiet day. The 25-delta metrics show whether upside calls or downside puts gained more. Open Straddle Compare
How did straddles do on the group's latest earnings?
Choose the Earnings Straddle metric: each stock's straddle result around its latest report, against the stock's move on that report. The table's Straddle Effect column shows the same result. How earnings straddle results are measured
Where to find it
Menu: Options › For Premium Users › Tools › Straddle Compare or Volatility Compare, or go straight to /Options/option-straddle-comparisons and /Options/volatility-comparisons.
Premium and Premium Options members can use every group, baseline, metric and expiration. Everyone else can load the DIA - Dow Jones group as a preview: any baseline in Volatility Compare, and the at-the-money straddle change or straddle premium in Straddle Compare. Other choices ask you to subscribe.
What each chart plots
| Chart or metric | What it shows |
|---|---|
| Volatility Compare | Each stock's IV30 now against the baseline you chose |
| ATM Straddle Price 1-Day % Change | The change in the at-the-money call plus put price since the previous close, at the same strike |
| 25-Delta Put Change, 25-Delta Call Change | The change in the price of the put or call nearest 25 delta at the previous close |
| ATM IV % Change | The change in the expiration's at-the-money implied volatility since the previous close |
| Earnings Straddle | The straddle result around the stock's latest earnings report, against the stock's move on that report |
| By Straddle Premium $ | The at-the-money straddle's price in dollars, against the same as a percentage of the stock price |
FAQ
- What is IV30?
- Implied volatility for a 30-day period, worked out from a stock's options, so stocks can be compared without picking an expiration.
- Why does the table's straddle change differ from the chart's?
- The chart plots the change in the straddle's midpoint price. The table's ATM Straddle 1-Day % Chg adds a stock position that offsets the straddle's starting delta and divides the result by the straddle's time value, so the two can differ.
- What is a 25-delta option?
- An out-of-the-money option whose price moves about a quarter as much as the stock: a 25-delta call has a strike above the stock price, a 25-delta put one below it.
- Why is a stock in the group missing?
- It needs option data for the chosen expiration, and Straddle Compare needs its options tracked at both the previous close and today. Some figures also skip options whose quotes are too wide.
- Who can use Straddle Compare and Volatility Compare?
- Premium and Premium Options members. Everyone else can preview the DIA - Dow Jones group.
- Is a stock above the line a signal?
- No. It shows that implied volatility, or a straddle, is high or has moved compared with the baseline, not where the stock or its options will go next.
Related
Implied and historical volatility Implied Volatility Movers At-the-Money Straddle Screener Market SnapshotTerms on this page
IV30 Historical volatility Straddle DeltaMarket Chameleon provides data, not investment advice.