NU Volatility Surface

SVI-calibrated implied volatility surface for NU. Interactive heatmap of IV across strikes and expirations. Data from the public FlashAlpha Lab API.

Delayed

ATM IV

66.9%

Spot Price

$12.38

NU implied volatility by strike and horizon

As of Nov 11, 4:00 PM ET

Strike as a percent of spot, interpolated between 15 listed expiries. A dash means no quoted option covers that point.

Horizon	80%	90%	95%	100%	105%	110%	120%
7 days	-	83.8%	84.0%	79.5%	78.6%	79.1%	88.1%
30 days	58.9%	57.8%	55.1%	51.4%	49.7%	50.3%	50.6%
60 days	53.7%	49.6%	48.8%	48.6%	46.3%	46.0%	48.1%
90 days	49.7%	48.6%	48.2%	47.1%	45.9%	45.7%	45.7%
180 days	48.6%	47.7%	47.4%	46.6%	45.5%	45.3%	44.8%
1 year	48.4%	47.6%	47.3%	46.9%	46.5%	46.1%	45.4%

Across these 41 points, NU implied volatility runs from 44.8% (180 days, 120% strike) to 88.1% (7 days, 120% strike), built from 15 listed expiries.

IV Heatmap

Strike	Mar 14	Mar 21	Mar 28	Apr 17	May 16
-	-	-	-	-	-
-	-	-	-	-	-
-	-	-	-	-	-
-	-	-	-	-	-
-	-	-	-	-	-
-	-	-	-	-	-

What is a Volatility Surface?

A volatility surface maps implied volatility as a function of both strike price and time to expiration. It captures the full landscape of how the market prices risk across different scenarios and time horizons.

SVI Calibration: FlashAlpha uses Stochastic Volatility Inspired (SVI) parameterization to fit a smooth, arbitrage-free surface to raw market quotes. This eliminates noise while preserving the true shape of the smile.

Reading the Heatmap

Cool colors (blue): Low IV - options are relatively cheap. Potential for long vol positions.
Warm colors (red/orange): High IV - options are expensive. Consider selling premium or look for relative value.
Spot row: Highlighted row shows IV at the current stock price. Compare across expirations to see term structure.
Wings: IV rising sharply at far OTM strikes indicates tail risk pricing or squeeze potential.