◆ Vol Surface Explorer

Implied Volatility

IV is the volatility number that makes the Black-Scholes price equal the market price. It is the market's priced-in expectation of future movement — not a measurement of the past. Crypto IV is quoted annualized: 60% IV ≈ a ±3.1% expected daily move.

25Δ Risk Reversal (Skew)

The risk reversal compares equally out-of-the-money options on each side. Negative RR = puts richer than calls (crash fear); positive RR = calls richer (upside chase — common in crypto rallies).

Drag the SKEW slider: put premium tilts the whole left wing of the surface upward.

Dealer Gamma Exposure

When dealers are long gamma near a big strike, their hedging sells rallies and buys dips — spot gets pinned to the wall into expiry. When dealers are short gamma, hedging chases price and moves accelerate through the level.

Toggle GAMMA WALLS to see strike-level dealer concentration as vertical bars at the front expiry.

Black-Scholes in one line

An option is priced as the cost of continuously hedging it: more volatility → more re-hedging profit given away → higher premium.

Everything on this surface is the market solving that equation backwards for σ, strike by strike, expiry by expiry.

Reading a vol surface — 4-step desk walkthrough

1. 01 · Level. Find the ATM ridge running front-to-back down the middle. Its height is the headline: "BTC 30-day vol is 62". High level = market braced for movement in either direction (halving, ETF decision, macro print).
2. 02 · Skew. Compare the left wing (puts) to the right wing (calls). Left wing higher → downside protection bid, fear regime. Right wing higher → upside calls bid, FOMO regime. Crypto flips between the two faster than equities ever do.
3. 03 · Term structure. Walk from the front edge (1W) to the back (6M). Rising = contango (calm now, uncertainty priced later — the normal state). Front edge spiking above the back = backwardation (stress is NOW: liquidation cascade, exchange scare, event tonight).
4. 04 · Walls. Overlay gamma. Big open interest at a strike near spot means dealer hedging flow will fight (long gamma → pin) or fuel (short gamma → slingshot) any approach to that level into Friday's expiry.

Desk glossary

Delta (Δ)

Option price sensitivity to spot. A 25Δ option is meaningfully out-of-the-money — the standard wing reference.

Gamma (Γ)

How fast delta itself changes. Peaks at-the-money near expiry — which is exactly where the walls form.

Vega

Sensitivity to implied vol. Long-dated options carry the most vega; the back of the surface is the vega zone.

Theta (Θ)

Time decay. The rent an option buyer pays daily; steepest for the front edge of the surface.

Pin risk & max pain

Pinning

Spot gravitating to a heavy strike into expiry as long-gamma dealers sell every uptick and buy every downtick around it.

Max pain

The expiry price where the greatest total option value expires worthless. Often quoted, loosely related to where gamma concentrates.

Vanna / charm

Second-order flows: how dealer hedges shift as vol and time change. They explain drift into big quarterly expiries.

Risk reversal trade

Sell the rich wing, buy the cheap one — a direct position on skew itself rather than direction.

Why crypto surfaces differ

Equity index surfaces almost always show put skew — crashes go down. Crypto surfaces regularly show call skew because the historic tail events include violent upside. Absolute vol levels also run 3–6× the S&P: BTC at 60 IV is "quiet"; SPX at 60 IV is a crisis.

Try the SOL preset: higher level, flatter-to-call skew, backwardated term — a typical high-beta alt profile after a fast rally.