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See the Volatility Smile Change

To see how the implied volatility smile and skew move during the day, open the Vol Surface: it samples IV for every strike near the money every 5 minutes and draws strike against time as a 3D surface. Inside Sheets, the Skewness and ATM IV intraday charts show the current smile and the ATM IV line for the selected symbol.

ToolsVol surface, Intraday charts (Skewness, ATM IV), Option chain (IV column)
InstrumentsNIFTY, BANKNIFTY, SENSEX, FINNIFTY, MIDCPNIFTY, BANKEX; CRUDEOIL, NATURALGAS, GOLD, SILVER
When it updatesVol surface sampled every 5 minutes through the session; intraday charts live during market hours
Open itquintalmind.com/analysis/vol-surface

Steps​

  1. Sign in with your broker and open Vol Surface, or go to Analysis.
  2. Pick the underlying from the tabs at the top.
  3. Press ATM to centre on the opening at-the-money strike, or use the ‹ and › buttons to slide the strike window.
  4. Drag the surface to rotate it. Press Reset to return to the default view.
  5. Click a strike to see its IV through the whole session as a line.
  6. Change the Session date to load a past day's surface.
  7. For the live smile inside Sheets, open Tools, then Charts, and use ⌕ on a card to pick Skewness or ATM IV.

What to look at​

  • IV at the opening ATM and the session change in IV, shown side by side above the surface.
  • Shape across strikes. Along the strike axis the height and colour are IV, which is the smile and skew at that moment. Along the time axis you see how that shape moved.
  • Gaps. Missing quotes are left as gaps; observed IVs are never filled in.
  • Session snapshots. The 5-minute samples for the selected expiry, listed by time.
  • Skewness chart. Call IV and put IV at each strike for the selected symbol and expiry.
  • ATM IV chart. The average of the call IV and the put IV at the ATM strike. Index options use Black-Scholes with the interest rate implied by the ATM call and put; MCX options use Black-76.

FAQ​

Where can I see how the Nifty volatility smile changes during the day?​

On Quintal Mind's Vol Surface. It samples implied volatility every 5 minutes for every strike near the money and draws strike against time of day as a 3D surface, with the session change in IV at the opening ATM strike.

Where can I see a Nifty ATM IV chart for today?​

Open Sheets, switch to Tools and open the Charts tab, then pick ATM IV on one of the four chart cards. It plots the average of the call IV and the put IV at the ATM strike through the day.

Can I see the volatility smile for a past day?​

Yes. Change the Session date on the Vol Surface to load that day. Historical Sheets also has a Skewness chart that shows the IV smile at the close of any archived session.

Quintal Mind shows market data and analytics for information only. Nothing here is investment advice, and Quintal Mind does not place orders.

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