Stats panels
Three panels that list one symbol's key values as labelled text, with exact numbers in place of chart readings.
What it answers
Three panels list one symbol's latest values as labelled text.
- Stats Panel shows the set of values its preset selects: volatility, distribution, greeks, VIX, regimes, the VRP signal or the vol surface.
- Dist Stats Panel shows what the options market implies about the price at one expiry: ranges, tail chances and the shape of the distribution.
- Greek Stats Panel shows the size and direction of the vanna and charm hedging flows at one tenor.
How to read it
- 1The preset menu shows the active preset. The example opens on Vol Surface.
- 2The surface row: ATM IV at 30 days, the Term-structure slope and its shape label, with one sentence.
- 3The skew row: 25-delta skew, its percentile and the Smile curvature, with one sentence.
- 4The anomaly row: the Anomaly count, the largest Quote anomaly z-score and its location on the surface.
- 5Reference: trade date, tenor, spot, ATM vol, the Forward price and the forward premium.
- 6Expected ranges: the 50% and 80% dollar ranges from the Implied price percentiles, then the 68% and 95% ranges in percent.
- 7Tail risk: the Tail probability of a 10% move each way, the Tail ratio and the chance of a 20% fall.
- 8Shape: Implied skewness and Implied excess kurtosis, each with one line.
- 9The identity line: symbol, tenor in days, stock price and trade date.
- 10Reference: forward, ATM vol, strikes, call and put Open interest (OI), and the Put/call ratio.
- 11The Peak vanna exposure strike, its distance from the stock price, and its Vanna exposure.
- 12Net vanna for the tenor, with a line that states the direction of hedging flow when implied volatility rises.
- 13Net Charm exposure, the ATM Charm and the Decay Rate, the Charm hedging flow in shares a day.
- 14Two boxes: the VRP regime and the vol regime, each with one line.
- 15The Flow direction, the scale line and the positioning assumption for every flow value on the Greek Stats Panel.
The seven presets
The preset menu lists seven sets of values. Each preset uses its own data, so a change of preset changes every value on the Stats Panel.
- Volatility: 30-day implied volatility (IV),
Historical volatility (HV) and vol of vol; VRP and its
z-score; IV percentile,
HV percentile and
Signal Strength. - Distribution: the four sections of the Dist Stats Panel, at the selected tenor.
- Greeks: trade date, spot, tenor, strikes and open interest. Peak exposure, peak strike and net vanna; net charm and the Mean charm; regime boxes; the flow summary.
- VIX: the VIX 30-day index (VIX 30D), the VIX 3-month index (VIX 3M), the trade date, and the VIX term spread, labelled Term Spread.
- Regime: the VRP regime box and the vol regime box, each with one line.
- Signal: IV percentile and HV percentile; VRP, its z-score and
Signal Strength. - Vol Surface: the surface, skew and anomaly rows shown in the example.
Regimes and signal strength
Volatility risk premium (VRP) is shown as a percent. The VRP z-score sets the VRP regime: above 2 extreme rich, above 1 rich, above -1 neutral, above -2 cheap, otherwise extreme cheap. IV percentile sets the vol regime: Crisis at 90 or more, High Vol from 70, Normal from 30, Low Vol below 30.
Signal Strength: a score from 0 to 100. It rises as the VRP z-score
moves away from 0 and as IV percentile moves away from 50.
Term Spread: VIX 30D minus VIX 3M, in signed percentage points. For SPY on 2026-08-21 it is -3.1pp. A negative value is the usual shape in calm markets. A positive value means near-term volatility costs more. The cell shows a dash when either index is missing or not above 0.
Colours and lines
A positive VRP, z-score, net vanna or net charm takes one colour, and a negative value another. The anomaly count takes a caution colour at 3 and a warning colour at 8. The largest anomaly z-score does the same at 2.5 and 4 in size.
In the distribution sections, the tail ratio takes a warning colour above 10, and the 20% fall chance above 1%. Skewness below -0.5 or above 0.5 is coloured, and kurtosis above 1.
The skewness line shows:
- strong left tail below -1;
- left-skewed below -0.3;
- right-skewed above 0.3;
- strong right tail above 1;
- near symmetric otherwise.
The kurtosis line shows:
- very fat tails above 3;
- fat tails above 1;
- slightly fat above 0;
- thin tails below -1;
- near normal otherwise.
The tail risk line flags downside risk when skewness is below -0.3, and crash risk when the 20% fall chance is above 2%. It also grades the tail ratio: extreme above 500, put tails much fatter above 100, moderate above 10, balanced otherwise.
A tail chance is the implied probability of the price move. It does not measure the chance that a trade makes money.
Greek values
The Forward cell on the Greek Stats Panel shows the put-call parity forward at the forward-curve expiry nearest the tenor, with its premium over spot. For the 29d chain it is $758.32 (+0.28%). When the symbol has no forward curve, the cell shows the stock price followed by "(spot, no forward curve)" with no premium. The put/call ratio is put open interest divided by call open interest.
The charm fields:
- ATM Charm: the call charm at the strike nearest the stock price, in delta per year, such as -0.1808/yr. A dash means the data has no value.
- Decay Rate: the charm hedging flow for one day, in shares, with its direction. For the 29d chain it is ~5.7K sh/day (selling).
The Greek Stats Panel and the Greeks preset both grade the daily charm hedging flow on the charm line. The grade is high above 100K shares a day in size, moderate above 10K, and low otherwise. The flow summary adds a Time decay line with the same share count. When the data has no charm hedging flow, the Decay Rate shows a dash and the panel has no charm line or Time decay line. The flow summary compares net vanna with the tenor's open interest in shares: call plus put contracts, times 100. Net vanna at 3% of that or more is strong, from 1% notable, and below 1% weak.
Flow direction is set by net vanna alone. It is Pro-cyclical when net vanna is notable or strong and positive. It is Counter-cyclical when net vanna is notable or strong and negative. It is Mixed when net vanna is weak or missing. Net charm does not change the flow direction, because charm hedging trades in one direction whatever the market does. The scale line shows net vanna as a percent of that open interest.
A tenor of 10 days or less adds a line stating that this tenor gives the strongest flow. A tenor of 60 days or more adds a line stating that it gives the weakest. The peak strike is the strike where hedging is most concentrated. Hedging flow changes gradually around the peak strike. The stock price can move past it.
Data quality
When the vol surface quality status is anything other than published, the Stats Panel header shows a badge such as Degraded. The values are still shown. A Surface quality status of degraded, as in the USO example, means the fit is usable but less reliable.
The Dist Stats Panel marks two data-quality causes with a small dot at the top right of a cell:
- Filled dot, in the caution colour: the density is priced from the ORATS smoothed volatility, because the fitted vol surface was missing, stale or blocked.
- Hollow ring, in the info colour: the forward fell back to spot, because the tenor has no put-call parity forward.
Both marks appear on Expected Ranges, Tail Risk and Distribution Shape. The Forward cell shows only the hollow ring. Hover a mark to display its cause.
A value missing from the data is shown as a dash, never as 0. A regime box with no regime data shows a dash in the neutral colour. The data updates once a day before the open, so every value is from the previous trading day.
Controls
| Panel | Control | Where | What it does |
|---|---|---|---|
| Stats Panel | Preset | Header | Selects one of the seven presets. |
| Stats Panel | Tenor | Widget menu | Selects 7, 14, 30, 60 or 90 days. Distribution and Greeks only. |
| Dist Stats Panel | none | Uses the Distribution chart's symbol and tenor. The default tenor is 30 days. | |
| Greek Stats Panel | none | Uses the Greek Flow symbol and tenor. |
The preset menu is in the header. When the header is too narrow, the preset menu moves into the widget menu. The tenor choice is in the widget menu only.
The Greeks preset uses the tenor in the data nearest the selected tenor. The Greek Stats Panel uses the tenor nearest the Greek Flow tenor. Take a request of 60 days with tenors of 33 and 61 in the data. Both panels use 61 days and show that tenor in the label.
The Dist Stats Panel follows the Distribution chart's tenor. It also follows when it is added after the chart. In the example, the Tenor cell shows 29d and the Fwd % cell shows +0.3%.
| Control | What it does |
|---|---|
| Stats Panel | |
| preset | Preset, which set of numbers the panel shows (header) |
| tenor | Tenor, for the Distribution and Greeks presets (widget menu) |
| Dist Stats Panel | |
| Greek Stats Panel | |
Use it with
- Build a dashboard adds a Stats Panel to a dashboard.