The Volatility Page: IV Term Structure, IV Surface and Volatility Signals

The Volatility page of GEXStream shows how implied volatility (IV) is priced across expirations and strikes for one ticker, measured against its historical volatility (HV), next to a board of machine-learning signals that flag the tickers whose realized volatility the model expects to expand or contract over the next 30 minutes. It is the part of GEXStream that reads the options market through volatility rather than gamma exposure (GEX), and it is a Quant plan page.

The Surface tab of the Volatility page for SPY: one implied volatility curve per expiration across strikes from 600 to 900, red for the nearest expiration through green to blue for the furthest, a dashed vertical spot line at 750.50, dashed HV10, HV30 and HV60 reference lines near the bottom, and a legend giving each expiration's days to expiry, at-the-money IV and skew — The Surface tab for SPY: one out-of-the-money IV curve per expiration, red at the front and blue at the back, with the spot line and the HV references behind them.

What it shows

On the left is a chart panel with a Term tab and a Surface tab for the selected ticker. On the right is the Volatility Signals board, a sortable table of the tickers the model currently flags as high conviction, headed by that count against the number monitored. Clicking a row loads the ticker into the chart panel, and a watchlist chip narrows the board to your saved list. On phones the board takes the full width and the chart panel is not rendered.

How to read it

The term structure and the surface are two cuts of the same IV data: the first asks how IV changes with time at a fixed delta, the second how it changes with strike at each expiration. The term structure and surface guides hold the reading rules: a front expiration priced above the back ones is an inverted curve, the shape of near-term event pricing; an upward slope is contango, the regime without a catalyst; IV above the HV30 line means options are priced richer than the volatility the underlying has realized, and below it cheaper. The dashboard's IV Ratio and Net IV rows are described under IV Ratio and Net IV.

The IV term structure tab

The Term tab plots five lines across the listed expirations: at-the-money IV (the 50-delta call), the 25-delta call and put, and the 10-delta call and put. Each point is interpolated between the two strikes whose deltas bracket the target. Expirations run out to 90 calendar days, at most 20 of them, labelled in days, weeks and months to expiry.

Dashed lines mark HV30 and HV60: annualized realized volatility over the last 30 and 60 trading days, from the standard deviation of daily log returns, in percent. For SPX, NDX, RUT and DJX the HV comes from the matching ETF (SPY, QQQ, IWM, DIA); VIX gets no HV line. A strip under the chart plots each expiration's 25-delta skew, the 25-delta put IV minus the 25-delta call IV divided by at-the-money IV.

The IV surface tab

The Surface tab draws every expiration's smile on one panel. Each point is the out-of-the-money side of the strike, put IV below spot and call IV at or above it, limited to strikes within 20 percent of spot. Curves are coloured by days to expiration, red at the front and blue at the back, and the legend lists each expiration's days to expiry, at-the-money IV (σ) and 25-delta skew (k). A vertical line marks spot, and six dashed references give HV10, HV30 and HV60 beside IV30, IV60 and IV90, the at-the-money IV interpolated at exactly 30, 60 and 90 days.

Both tabs are cached for 5 minutes on the server and refreshed every 5 minutes while the market is open; the HV references refresh hourly. With too little chain data, a "No IV data" or "No surface data" overlay appears.

The Volatility Signals board

Volatility Signals is a beta feature. A gradient-boosted tree model run inside GEXStream takes 23 inputs per ticker every 5 minutes during market hours (9:30 AM ET to the close, Monday to Friday) and estimates realized volatility over the next 30 minutes. The inputs span the GEX ratio and flow ratio, IV skew and level, volume imbalance, the distances to the max, min and zero gamma levels, 30-day z-scores of net GEX, net flow and call and put volume, stock loan and short volume, the time of day, and trailing realized volatility over 30 minutes, one day and five days. It covers most of the tracked universe, about 629 tickers.

Each estimate is compared with the realized volatility of the previous 30 minutes: above it is expansion (a red star), below it contraction (a green star). The percent gap between them is the change ratio, and a ticker is flagged only when that gap clears its own threshold: the 92nd percentile of its last 1,000 change ratios once it has 50 of them, and a fixed 50 percent gap until then. The Conv column divides the change ratio by that threshold: 1.00 means the bar was just cleared, 2.00 or more is well past it; it is the default sort. The other columns give the change ratio, the change in annualized volatility, and the predicted and trailing realized volatility. Outside market hours the board holds the last tick of the session. A ticker's flags also appear as stars on the price line of its Intraday chart.

The board is a scanner of the model's current estimates, not a forecast of price. GEXStream is educational and informational content, not investment advice.

Which plans include it

The whole Volatility page requires the Quant plan: the IV term structure, the IV surface and the Volatility Signals board are each served only to Quant accounts, and the 3-day free trial, which runs at Quant access, includes them. The IV smile overlay on the dashboard is a separate Flow-plan feature. Plans and pricing are on the home page.

Intraday gamma levels and options tape, where the volatility stars are drawn on price.
Real-time GEX dashboard, with the IV Ratio and Net IV rows and the IV smile.
Heatmaps, including the Net IV heatmap by strike and expiration.
Docs: Volatility Signals.