Signal tiles
Five one-line tiles, each showing one symbol's values with a badge word that marks an unusual reading.
What it answers
Each tile shows one symbol's values on one line, so a dashboard row can show many symbols at once. A badge word at the start of the line marks an unusual reading.
- VIX Tile shows whether near-dated implied volatility is high or low against its own history, beside the 3-month index.
- Vol Tile shows whether options are priced above or below the moves the stock has made.
- Skew Tile shows the price of puts against calls.
- Vol Surface Tile shows whether the volatility surface has signs of stress.
- Flow Tile shows net vanna and net charm exposure and the direction of vanna hedging flow.
How to read it
Each tile lists, left to right: symbol, badge, headline value, a second value, more values and a labelled percent. The sections below give the label and the percent for each tile.
- 1The VIX Tile badge is ELEVATED, DEPRESSED or NEUTRAL, set by the IV percentile. It is N/A when the data has no IV percentile.
- 2The headline value is the VIX 30-day index (VIX 30D), followed by the VIX 3-month index (VIX 3M).
- 3The small line plots VIX 30D over the last 30 days, oldest on the left.
- 4The Vol Tile badge is RICH, CHEAP or NEUTRAL, set by the VRP z-score. It is N/A when the z-score is missing.
- 5The headline value is 30-day implied volatility (IV), followed by historical volatility (HV).
- 6The Skew Tile badge is STEEP, FLAT or NORMAL, set by the 25-delta skew.
- 7The headline value is the 25-delta skew, followed by its percentile.
- 8The Vol Surface Tile badge is STRESSED, CAUTION or NORMAL.
- 9The last labelled value is the anomaly count.
- 10The Flow Tile badge is Pro-cyclical, Counter-cyclical or Mixed.
- 11The headline value is net vanna exposure, followed by net charm exposure.
VIX Tile
VIX Tile shows VIX 30D, VIX 3M, the VIX term structure ratio and the VIX term spread. The ratio is VIX 30D divided by VIX 3M. The spread is VIX 30D minus VIX 3M, in signed percentage points, such as -3.1pp. The percent is the IV percentile, labelled elevated, depressed or neutral to match the badge.
The badge is ELEVATED when the IV percentile is 80 or above, DEPRESSED at 20 or below, and NEUTRAL between. The tile colour matches the badge. When the IV percentile is missing, the badge is N/A and the percent is a dash with no label. The tile then has no accent colour, and VIX 30D is in faint ink.
Vol Tile
Vol Tile shows IV 30D, HV 30D, the volatility risk premium (VRP), the VRP z-score and the VIX term structure ratio. The percent is the IV percentile, labelled IV pctile. The small line plots IV 30D over the last 30 days.
The badge is RICH when the VRP z-score is above 1.5, CHEAP below -1.5, and NEUTRAL between. When the z-score is missing, the badge is N/A. The z-score is missing for a symbol's first 19 days. The tile colour uses the VRP regime bands: rich above a z-score of 1, cheap at -1 or below. With no VRP regime, the tile has no accent colour and IV 30D is in faint ink.
VRP is a signed percent. "+0.6%" means implied volatility is 0.6% above historical volatility. VRP takes one colour above zero and another at or below zero.
The VIX term structure ratio takes one colour above 1.02, another below 0.98, and a third between. A ratio above 1 means near-dated volatility is priced above the 3-month index.
Skew Tile
Skew Tile shows the 25-delta skew, its percentile, at-the-money implied volatility (ATM IV), the term-structure slope and smile curvature. Smile curvature is shown as a percent, such as 2.2%. The skew percentile is the share of the symbol's earlier days with a skew at or below today's. With no earlier days, the skew percentile shows N/A. The labelled percent is also the skew percentile, labelled STEEP, NORMAL or FLAT to match the badge.
25-delta skew: put implied volatility minus call implied volatility. A positive skew means puts cost more than calls. The badge is STEEP when the skew is above +10.0%, FLAT below +2.0%, and NORMAL between or when missing. The usual equity skew shows NORMAL. The tile colour matches the badge.
Vol Surface Tile
Vol Surface Tile shows ATM IV, the term-structure slope, the 25-delta skew, smile curvature and the anomaly count. Smile curvature is shown as a percent. The percent is the skew percentile, labelled skew pctile.
The badge is STRESSED when the term structure is inverted or the anomaly count is 8 or more. It is CAUTION at 3 to 7 anomalies, and NORMAL below 3. The term structure is inverted at a slope of -1.0 bps/d or lower, flat up to 1.0, and steep above 1.0. The tile colour matches the term-structure state: inverted, flat or steep. The anomaly count changes colour at 3 or more.
Flow Tile
Flow Tile uses one expiry: the listed expiry nearest 30 days. For SPY in the example, it is 29 days out. It shows net vanna exposure, net charm exposure, the peak vanna exposure strike, and call and put open interest (OI). The percent is put open interest as a share of total open interest. Its label is put heavy above 55%, call heavy below 45%, and balanced between. When open interest is missing or zero, the percent is a dash with no label. Missing open interest also shows dashes in the Call OI and Put OI cells.
The badge is the flow direction. It is set by net vanna exposure alone. Net vanna counts when its absolute value is at least 1% of the expiry's open interest in shares (contracts times 100). With no open interest, it counts above 50,000 in absolute terms.
- Net vanna counts and is positive: Pro-cyclical.
- Net vanna counts and is negative: Counter-cyclical.
- Net vanna does not count, or is missing: Mixed.
Net charm exposure does not change the badge. Charm hedging trades in one direction whatever the market does.
Exposures are shown with a sign and one decimal: K for thousands and M for millions. Below 1,000 they are shown in whole shares. In the example, net vanna is -29.2K and net charm is +20.8K. Open interest is shown in whole thousands, such as 43K, and in millions with one decimal.
All tiles
Each badge compares one value with fixed bands. A value missing from the data shows N/A. A missing percent and a missing VIX Tile value show a dash. A tile with no data shows the symbol and a row of dashes.
The data updates once a day before the open, so every tile shows the previous trading day.
Controls
All five tiles have the same two controls.
- Mode is in the header chip row: Static, Ticker or Tile.
- Static draws one fixed line. It is the default.
- Ticker scrolls the same line across the window.
- Tile shows the same values as a small card, one row per value.
- Speed is in the widget menu and appears only in Ticker mode.
- Speed selects Slow, Med or Fast: 30, 60 or 90 pixels per second.
Each mode shows the same values. Drag a window larger to enlarge the text. Use the header search to select the symbol.
| Control | What it does |
|---|---|
| VIX Tile | |
| mode | Mode, Static, Ticker or Tile |
| speed | Speed of the ticker, in Ticker mode only |
| Vol Tile | |
| mode | Mode, Static, Ticker or Tile |
| speed | Speed of the ticker, in Ticker mode only |
| Skew Tile | |
| mode | Mode, Static, Ticker or Tile |
| speed | Speed of the ticker, in Ticker mode only |
| Vol Surface Tile | |
| Flow Tile | |
| mode | Mode, Static, Ticker or Tile |
| speed | Speed of the ticker, in Ticker mode only |
Use it with
- Volatility premium charts plot the VRP and the z-score that set the Vol Tile badge.