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Back to GlossaryVolatility

Volatility Surface

The four-dimensional function describing implied volatility across strikes and expirations. Used to identify mispricings, dealer positioning signatures, and regime changes.

Also known as:IV surfacevol surfaceimplied vol surface

The volatility surface is the complete picture of how the market is pricing optionality. Each point on the surface is the implied volatility for a specific strike and expiration. The shape across strikes is the skew; the shape across expirations is the term structure; the full surface combines both.

What signals live in the surface

Dealer positioning leaves fingerprints on the surface. Dealer-sold puts produce a put-side IV trough — a localized depression in IV at a specific strike that is lower than its neighbors by 5–10%. Dealer-sold calls produce the same on the call side. ChartGEX's IV trough depth signal scans the surface for these signatures as one of the six features in its dealer-structure detection model.

Related Terms

IV Skew

The difference in implied volatility across strikes at the same expiration. Most equity index options exhibit a put-side skew — out-of-the-money puts price at higher IV than equivalent calls.

IV Rank

A normalized measure of where current implied volatility sits within its 52-week range. IV Rank = (IV − IV_low) / (IV_high − IV_low).

Volatility Regime

A discrete classification of the current volatility environment. ChartGEX classifies low (< 10% realized), medium (10–30%), and high (> 30%) and conditions dealer-structure thresholds accordingly.

Vanna

The second-order Greek that measures how an option's delta changes when implied volatility changes. ∂Δ/∂σ. Drives slow grinds, pre-event drifts, and IV-collapse rallies.