😶‍🌫️ Prices Analysis / Smile Chart

Implied volatility smile for TTF Winter-25all

📝 Description

This chart visualises the volatility "smile" — the relationship between implied volatility (IV) and the strike prices for a selected option period. It helps traders assess market expectations for extreme moves and compare relative richness across strikes.

Key Use Cases:

• Skew Detection: Understand whether downside or upside strikes carry higher IVs (risk premia).
• Relative Pricing: Compare IV vs price to find mispriced options across strikes.
• Volatility Surface Analysis: Assess curvature or asymmetry in the IV curve for model calibration or trade design.

🎛️ Interactive Controls

• Trade Leg Selector (e.g., Win-25): Choose the specific leg or strategy component to analyse.
• Chart Type: Configures the X-axis variable
  • Strike
  • Moneyness
  • Delta
  • Quickdelta

📌 Chart Components

Smile Panel (Top)

• Blue Line – IV Smile (Left Y-axis)
  • Plots Implied Volatility across different strike prices (mny / delta / quickdelta)
• Green Line & Area – OTM Option Price (Right Y-axis)
  • Represents the price of out-of-the-money options at each strike.

Timeline & Mini-map (Bottom):

• Zoom Control - Drag to isolate specific time windows
• Mini Map - Shows a a full range of IV Smile and Spread history

📚 Data Sources

• Implied Volatility Data: Derived from market option prices, fitted or interpolated per strike.
• OTM Prices: Extracted from latest settlement (close) price levels for selected period options.
• Strike Range: Includes all relevant strikes across the selected expiry and trade leg.

🧩 Interpretation Tips

• Classic Smile Shape: Both wings (low/high strikes) have higher IV than ATM — common in majority of the markets
• Downward Skew: Right (calls) has lower IV than left (puts) — indicates crash risk premium.
• Inverted Skew: Right side richer — possible in bullish or commodity contexts.
• Divergence between IV and Price: Useful for spotting rich/cheap trades not obvious from price alone.
• Use in Structure Design: Helps position legs where IV is high (sell) vs low (buy) for strategic edge.