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18 Sep 2026Options, volatility and the probability of outcomes.
How implied volatility and time to expiry shape the range of outcomes an index option is priced for.
Read the full insightIllustrative articleHow wide is the range? Index level at expiry, 30 days out
Computed from a lognormal model at three implied volatilities. Illustrative, not market data.
- 10% implied volatility · 92% within ±5%
- 15% implied volatility · 76% within ±5%
- 20% implied volatility · 62% within ±5%
View data table
| Implied volatility | One standard deviation | Within ±5% | Within ±10% |
|---|---|---|---|
| 10% | ±2.9% | 91.9% | 99.9% |
| 15% | ±4.3% | 75.5% | 98.0% |
| 20% | ±5.7% | 61.7% | 91.9% |
Market themes
Market structure
Order flow, liquidity and how participation shapes a move.
Volatility
Implied against realised volatility, and what the spread means.
Options
Expiry dynamics, strike selection and the volatility surface.
Macro & regime
Breadth, flows and how conditions change a signal’s meaning.
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Read moreIllustrative articleOptions volatility surface (illustrative)
Implied volatility across strikes and expiries
An illustrative surface: higher implied volatility for strikes below the index level, a smile that flattens as expiry lengthens. Not market data.
View data table
| Days to expiry | 80% strike | 90% strike | 100% strike | 110% strike | 120% strike |
|---|---|---|---|---|---|
| 7 days | 31.2% | 19.6% | 13.6% | 11.7% | 13.0% |
| 14 days | 26.2% | 18.0% | 13.8% | 12.5% | 13.4% |
| 30 days | 22.7% | 17.1% | 14.2% | 13.3% | 13.9% |
| 45 days | 21.4% | 16.8% | 14.4% | 13.7% | 14.2% |
| 60 days | 20.6% | 16.7% | 14.6% | 14.0% | 14.4% |
| 90 days | 19.9% | 16.7% | 15.0% | 14.5% | 14.8% |
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