📋 Earnings Data
ABOUT: 1_close is the realized volatility from 8:31am Chicago Time (1 minute into the day) until the close. (5, 15, 30, ..., 330)_close are the realized volatility from that many minutes into the session until the close. Likewise, Chg1 is where the stock was 1 minute into the session vs. the previous day's close. Realized vol depends on when you hedge, and so the dots on the graphs are the AVERAGE realized vol, with the bar extending to the 1%ile and 99%ile values for that given Date/Ticker. A decay schedule is used for adjusting the intraday realizeds.
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📊 Enter vol parameters for FAIR and LARGE SELL scenarios.
Term Structure
FAIR
LARGE SELL
🔍 Find tickers with similar volatility behavior. First load may take a few minutes. Hover over column headers for explanations.
Analyzing correlations...
ABOUT: prev_close is the realized volatility from yesterday's close to the following trading day's close, i.e. 1 full trading day. Tuples can be read as the (10%ile, Mean, 90%ile) value for that column, and the moving average of those values.
🤝 Analyze sympathy moves on earnings dates. * = sympathy ticker also had earnings. AVG/wAVG for % Change uses absolute values.
ABOUT: IV is Implied Vol. ICV is Implied Censored Vol, which removes any events the market is pricing from the vol. Terms are counted in Friday-expiry weeklies, such that Terms 1-6 typically are weeklies and terms 7 and 8 are the following monthlies, so DTEs range from 0 to 65. The red Theo line loads automatically (may take a moment on first chart if models haven't trained yet).
ABOUT: Combined view of Market ICV (white), ICV Theo (magenta), and Realized Vol Theo (seafoam) with p10–p90 and p1–p99 bands. Bottom panel shows TermPnL.
ABOUT: ICV percentile rankings across all tickers. Shows where each ticker's current ICV sits relative to its historical range. Ticker histories vary from 1 day to back to June 2025. Click column headers to sort.
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ABOUT: ICV Theo uses a Bayesian Ridge model trained on historical ICV data + rolling features to predict what the theoretical ICV should be for each ticker in each term. Use View to toggle between Theo Only, Theo + Market side-by-side, or the Difference (Theo − Market). Positive differences mean Theo > Market.
Computing ICV Theo predictions...
ABOUT: Realized Theo predicts future realized volatility (excluding events) using linear regression across the time horizon for each expiry. Predictions can be read as (10%ile, Mean, 90%ile) in each term.
Loading realized theo predictions...
ABOUT: Rolling feature data from our universe of tickers. Naming: Mean = 50th %%ile, Spread = 99th %%ile − 1st %%ile. Column format is
[source] [horizon] [type] — e.g. "prev_close 9d Spread" = 9-day rolling average of prev_close (99%%ile − 1%%ile). Hover over any column header for a full description. Also includes minute-hedging realized vol (RV Minute), moving average distances (EMA/SMA), and dollar volume metrics.Loading features data...
ABOUT: Features describing past Ern history and current market state for names with upcoming earnings. Prefixes: TD = today's features (same as Features page), EH = earnings history. Hover over any column header for a full description.
Data Date: —
Loading earnings features...
ABOUT: Market and Theo values for Implied Move / CV for the next Ern in a ticker.
Loading upcoming earnings...
ABOUT: Intraday vol histories. The number of the vol column is how many minutes into the session you start. Decay scheme is used so units are annualized vol. Bars are the 1%ile, Mean, 99%ile values from the given date.
ABOUT: Dollar volume is how many $ of stock trade on a given day. The short MA and long MA are used to create moving averages of the $ volume and then a ratio of the short to long term volume MA. Horizontal dashed lines show the 5th and 95th percentile thresholds.
ABOUT: Skew is calculated as vol points different from ATM for that term. For example, if NVDA 20d put is 35vol and ATM is 31vol, then 20d_put skew = 4. Positive = higher vol than ATM, negative = lower vol than ATM. Vertical lines = earnings dates.
ABOUT: Shows tickers with 3+ consecutive days of positive or negative cc_move (close-to-close price change). 20d_RV is the 20-day realized volatility (excluding earnings days). MaxUp/MaxDown show the longest historical streak for each ticker.
Analyzing all tickers...
ABOUT: Each cell below can be read as the PnL from a position which is long the 20 delta strangle, 35 delta strangle, and 50 delta straddle in a given term (1 contract of each), and then randomly delta-hedged 4 times throughout the day. Units are as a % of premium
Loading TermPnL data...
ABOUT: Censored Vol + Implied Earnings histories. Straddle is shown for the ErnWeek expiry as a % of spot.
Loading ImpErn data...
ABOUT: Edges shown as (Market − Theo) across all 8 terms. ICV Theo Edge: term-weighted (term1×1, term8×8). RV Theo Edge: front-weighted (term1×8, term8×1). Positive = mkt above model (rich). Negative = mkt below model (cheap). IV %ile = avg historical percentile across terms. Hover headers for details.
Computing signals across all tickers...
ABOUT: Enter a ticker and a set of dates to see a PostE-style breakdown for those specific dates, with AVG and wAVG rows. Dates should be trading days present in the ticker's data file. Older dates appear at the bottom.
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ABOUT: Upcoming events that may affect volatility. First 5 events shown in chronological order.
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