At the Money Volatility Over Time Vs Underlying

exchange underlying defmonth

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Select the exchange, contract, and the deferred month. For example a deferred month of zero is the front month contract. The At the Money implied volatility is drawn on the left axis, with price on the right, with time on the x-axis.

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This is a plot of a time series of the approximate 100% moneyness option versus the date.

The Y axis is the implied volatlity from either the Black, BaroneAdesi or Bachelier model-it is the approximate 100% moneyness option of the the front or 1st deferred month.

The X axis is defined as the date.

There are a lot of listed skews, sometimes there is no trade or only one strike is active. You may see an empty plot because of this.