The ATM Implied Volatility indicator displays in real time the at-the-money (ATM) implied volatility of options related to the underlying instrument shown on the chart.
Implied volatility represents how much the market expects the price of an instrument to move in the future.
The value is calculated using:
- Call and Put options
- The strikes closest to the current underlying price
To ensure a smooth and continuous curve, linear interpolation is applied between available strikes, avoiding sudden jumps.
The indicator line shows how ATM implied volatility changes over time, meaning:
- when it rises: the market expects larger price movements
- when it falls: the market expects smaller price movements
In general:
- High values: a more nervous market or expectations of increased volatility
- Low values: a more stable or calm market
- Rapid movements: changes in market expectations
Important
– This indicator works only in real time.
– It does not provide historical data.
– Values are calculated exclusively during live market sessions.
– Values may change rapidly during market events or news releases.
– Accuracy depends on the liquidity of the options used in the calculation.
Calculation Properties #
- Interest Rate (%): the risk-free rate reflecting the return of a safe investment (e.g., government bonds), used to calculate the present value of an option, for example via the Black-Scholes model.
- IV Calculation Price: the option price used to calculate implied volatility (IV), Greeks, etc. (Possible values: Last, Bid, Ask, (Bid + Ask)/2).
- Options Expiration: specifies the expiration of options to be used in the calculation. Usually, for this indicator, 0-DTE options (options expiring on the current day) are used.
