ES Futures Options Skew
Black-76 implied volatility smile and term structure for E-mini S&P 500 (ES) options-on-futures. Explore how IV changes across strikes and expirations.
Volatility Smile
Black-76 implied volatility across strikes for the nearest expiration. Data from the public vol surface endpoint.
No surface data available for ES.
Volatility Skew Data
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Sign up free - 30 secondsIV Term Structure
ATM Black-76 implied volatility across expirations. Contango (rising) is normal; backwardation (inverted) signals a near-term event.
No term structure data available.
IV Term Structure
Create a free account to view the ATM IV term structure for ES futures.
Sign up free - 30 secondsUnderstanding Futures Options Skew
Options skew measures the difference in implied volatility between out-of-the-money puts and equidistant calls. The 25-delta skew compares the IV of a 25-delta put to a 25-delta call. For options-on-futures, IV is solved with the Black-76 model on the futures price.
Steep skew: The market is pricing in higher demand for downside protection. This is typical of equity index futures such as ES, which inherit the tail-risk skew of the underlying SPX index.
Flat or inverted skew: Can indicate squeeze positioning, bullish sentiment, or heavy call buying driving up upside IV.
Term Structure Regimes
- Contango (normal): Longer-dated options have higher IV than shorter-dated. Reflects time-value premium and normal uncertainty growth.
- Backwardation (inverted): Near-term IV exceeds far-term. Signals an imminent catalyst: FOMC, CPI, NFP, or other binary macro event.
- Flat: Uniform IV across the curve. Can indicate low conviction or a transition between regimes.
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