📋 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 LARGE BUY, FAIR and LARGE SELL scenarios.
Term Structure
LARGE BUY
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: TICKERVIEW is a term-specific research workspace. Select a ticker, expiry term, and observed history window. The top cards show current market vol, ICV Theo, the closest realized-theo percentile range, skew state, and liquidity. Charts below keep the selected term and time window aligned across realized vol, stock moves, intraday path, competitors, events, and TermPnL.
Assembling ticker research view...
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. Current percentile is measured against the non-earnings observations in the selected history window.
🤝 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 regularized regression across the time horizon for each expiry. Predictions can be read as (10%ile, Mean, 90%ile) in each term.
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ABOUT: Rolling feature data from our universe of tickers. Naming: Mean means the 50th %ile, Spread means the 99th %ile - 1st %ile. Feature names are ordered
source_horizon_stat: the source series first, then the trailing trading-day horizon, then the statistic. For example, 5_close_2d_spread means the 2-day average of the 5_close spread (99th %ile - 1st %ile). Hover over any header for the full definition. Also includes minute-hedging realized vol, moving-average distances, and dollar-volume metrics.Loading features data...
ABOUT: Features describing past earnings history and current market state for names with upcoming earnings. Prefixes: TD = today's features from
today_df.csv, with the same definitions as the Features page; EH = earnings-history features. EH includes prior sample count, close-close moves, and the 50th/99th %ile values or averages from the prev_close, 5_close, and 270_close tuples. Hover over any column header for a full description.
Data Date: —
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ABOUT: Current modeled Implied Earnings and CV values. ErnDate is shown only for confirmed E. Method 2 is a new experimental Valuation framework, which should be trusted less than the regular preds
Loading earnings theos...
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. The heatmap shows trailing 90-observation percentiles; cards show the latest value, percentile, and z-score. 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
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ABOUT: Vega Traded at the Date/Ticker level. All Listed Options.
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ABOUT: Censored Vol and Implied Earnings histories from each name's most recent Earnings
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ABOUT: Ideas are ranked by the largest absolute disagreement with our theo. The table puts the implied market parameter beside our theo, the resulting edge, and the realized-theo range where available. Positive edge means the market is rich to theo (sell-vol bias); negative edge means the market is cheap (buy-vol bias). Hover headers for the exact weighting and interpretation. This is a free website. The market is difficult. Be careful.
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. The first 25 events are shown in chronological order before subscriber gating.
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