↔️ Prices Analysis / Spread Chart

Implied volatility spread between TTF Winter-25 40 Call and TTF Winter-25 35 Call

📝 Description

This chart visualizes the spread between the implied volatility (IV) of the long and short legs of an options structure. It offers valuable insights into relative pricing, market sentiment, and trading opportunities across different contract. It displays IV for both long and short legs in an option structure and calculates the spread between them as a histogram.

Key Use Cases:

• Relative Value Analysis: Identify under/overpriced legs in a multi-leg strategy (e.g., calendar spreads, butterflies).
• Risk Management: Track changes in volatility differentials over time to assess exposure.
• Market Timing: Time entry/exit when the spread hits extreme values (based on historical percentiles).

The chart helps traders understand the market’s volatility expectations and capitalize on inefficiencies between long and short exposures.

🎛️ Interactive Controls

• Contract - Defines rollover logic for maturities
  • Rolling - Roll option to maintain similar contract for extended history.
  • Fixed - Track full history of selected option.
• Granularity - Sets resolution for the summarisation. If > Days Granularity is selected, data will be aggregated for this period.
  • Days
  • Weeks
  • Month
  • Quarter
  • Half-Year
  • Year

📌 Chart Components

Time-Series Panel (Left)

• 🔵 Blue Line - Shorts Average Implied Vol – average IV of the short positions.
• 🟢 Green Line -  Longs Average Implied Vol – average IV of the long positions.
• The histogram represents the IV Spread (Shorts - Longs ).
  • The histogram is positive -> shorts more expensive
  • The histogram is negative -> longs more expensive.

Distribution Histogram (Right):

• Shows distribution of spread values. It helps identify how current spread compares historically.
• Percentile & Last Value Indicator:
  • Displays the current spread (e.g., -2.08%) and its percentile (e.g., 23rd), aiding in statistical context
• Average Spread Value (e.g. -1.05%) for entire history. 

Timeline & Mini-map (Bottom):

• Zoom Control - Drag to isolate specific time windows
• Mini Map - Shows a a full range of Long / Short IVs and Spread history

📚 Data Sources

• Implied Volatility Data: Derived from market prices of individual options (long and short legs).
• Spread Calculation: Difference between average IVs of long and short legs.
• Historical Distribution: Generated from time series of spread values for selected period.

🧩 Interpretation Tips

• Negative Spread (as seen): Implies short legs are richer in IV than longs — potential opportunity to benefit from mean reversion if historically uncommon.
• Percentile Context: A low percentile (e.g., 23%) means the spread is narrower than usual, suggesting potential reversion trades.
• Volatility Regimes: Watch for changes during earnings, macro events, or low-liquidity periods which can distort spreads.
• Persistent Divergence: May indicate structural mispricing or shifts in hedging demand.