NU Volatility Skew

Implied volatility smile and term structure for NU options. Explore how IV changes across strikes and expirations.

Delayed

ATM IV

66.9%

HV20

75.0%

Price

$12.38

NU skew by horizon

As of Nov 11, 4:00 PM ET

Implied volatility by strike as a percent of spot, interpolated between 15 listed expiries. Skew is the 90% strike minus the 110% strike, in volatility points. A dash means no quoted option covers that point.

Horizon	90% strike	95%	At the money	105%	110% strike	Skew
7 days	83.8%	84.0%	79.5%	78.6%	79.1%	+4.7
30 days	57.8%	55.1%	51.4%	49.7%	50.3%	+7.5
90 days	48.6%	48.2%	47.1%	45.9%	45.7%	+2.9

At 30 days, the 90% strike trades at 57.8% implied volatility and the 110% strike at 50.3%: puts are priced 7.5 volatility points above calls. That put-over-call gap is wider than 72% of the 1,449 tickers we cover. Skew is steeper at 7 days (4.7) than at 90 days (2.9).

Volatility Smile

Implied volatility across strikes for the nearest expiration. Data from the public vol surface endpoint.

IV Term Structure

ATM implied volatility across expirations. Contango (rising) is normal; backwardation (inverted) signals a near-term event.

Understanding 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.

Steep skew: The market is pricing in higher demand for downside protection. This is typical of equity indices and individual stocks with tail risk.

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: earnings, FOMC, FDA decision, or other binary event.
Flat: Uniform IV across the curve. Can indicate low conviction or a transition between regimes.