Assess implied volatility structure across crypto options
Answers whether crypto options are pricing calm or stress, and where the chain's median implied volatility sits on a fixed scale. It reads the full option chain for a symbol (default BTC), pulling mid implied volatility, open interest, and call/put volume across strikes and expiries. It groups instruments by expiry to build the term structure, takes the median IV, places it on a fixed 0-100 scale, and classifies the volatility regime. Use the regime and put/call read as volatility context; it matters because IV level is a large part of what options cost.
The implied volatility surface: how option prices vary across strike and expiry, and what that shape encodes.
Every option has an implied volatility - the figure that, in a pricing model, reproduces its traded price. Plotted across strikes for one expiry it is rarely flat: it forms a SMILE or SKEW. The direction is market-specific and should not be generalised - equity indexes characteristically show a pronounced downside put skew, while crypto often shows a flatter smile or even call-side richness in strong markets. What is empirically COMMON - though not universal, since a surface can be flat or nearly so - is that it is not flat, which is the market's rejection of the Black-Scholes assumption of constant volatility and lognormal returns. The model survives as a quoting convention while the surface records where reality departs from it. Plotted across expiries it forms the TERM STRUCTURE. The upward slope in calm markets and inversion under near-term stress is largely an equity-volatility heuristic; in commodities, rates, FX and crypto the shape is often dominated by scheduled events, seasonality or market-specific forces instead.
Two methodological cautions specific to how this is computed.
The MEDIAN IV across the chain is not at-the-money IV. Taking a median over instruments at many strikes and expiries mixes the skew and the term structure into one number, and its level depends on which strikes happen to be listed and liquid. It is a summary of the surface, not a point on it.
A PERCENTILE NEEDS A HISTORICAL SERIES, and a single option-chain snapshot does not contain one. Converting today's median to a 0-100 percentile requires a stored history of the SAME statistic - a daily full-chain median, or daily 30-day ATM IV - together with a stated lookback. This analysis keeps no such history. The figure it publishes as its IV percentile is today's median implied volatility rescaled onto 0-100 between fixed levels, 0 at 40% or below and 100 at 140% or above, so it says where today's level sits on that fixed scale and not how today ranks against this coin's own past. Note also that a true IV PERCENTILE - the share of past days below today - is a different statistic from IV RANK, which locates today between the period's minimum and maximum; they are frequently confused.
Mid implied volatility is derived from the midpoint of bid and ask. In a thin market that midpoint may be far from any achievable price, so an illiquid strike contributes a number nobody could trade.
Open interest counts contracts outstanding, volume counts contracts traded - a common confusion, and they answer different questions.
The regime labels are thresholds on that figure: our convention, not a standard.
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