ZB Futures Options Skew
Black-76 implied volatility smile and term structure for U.S. Treasury Bond (ZB) 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 ZB.
Volatility Skew Data
Create a free account to view the IV smile, term structure, and skew analysis for ZB futures.
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 ZB 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. In commodity and rate futures this often reflects supply, delivery or policy risk concentrated on one side of ZB.
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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