IV difference (front vs back month) report
Compares the IV of front-month and back-month puts and calls around the stock price per symbol - the calendar-skew screener with Total IV and net premium.
Overview
The IV difference (front vs back month) report compares implied volatility between a near (front-month) and a later (back-month) expiration for each symbol, on the put side below the stock price and the call side above it. When front-month IV is much higher than back-month IV, the market is pricing a near-term event; this is the starting point for calendar-spread research.
The data delay depends on your plan and is shown on every view: the as-of time and the delayed label sit above the results. On the Free plan reports show the previous session.
How the report is built
- Put legs: strikes at or below stock price x (100 - Downward Price Range %) / 100. Call legs: at or above stock price x (100 + Upward Price Range %) / 100.
- Legs within 60 days to expiry, at or out of the money, with volume or open interest greater than 0.
- Back month = an expiration within # Of Option Series x 7 days after the front expiration.
- Put IV Difference = IV(front put) - IV(back put); Call IV Difference = IV(front call) - IV(back call); Total IV = the sum, in IV points.
- Net Premium = (back put - front put) - (back call - front call), per share.
- Rows sorted by Total IV, highest first; Total IV % hides rows below your threshold.
Before you start
Any signed-in plan can open the report from Research → Reports. Your plan decides how fresh the data is and how much history you can read. CSV export of this report is open to every plan.
Steps
- Open Research → Reports, choose Implied Volatility and open IV difference (front vs back month).
- Optionally type one or more symbols in Underlying symbol(s); with one symbol the Share price box shows its price.
- Set Downward Price Range %, Upward Price Range %, # Of Option Series and, optionally, Total IV %.
- Press Run. Use Export CSV to download every row (all plans).
Report inputs
| Input | What it does |
|---|---|
| Underlying symbol(s) | Optional. Blank = every symbol. |
| Downward Price Range % | Required, default 10. How far below the stock price the put legs sit. |
| Upward Price Range % | Required, default 10. How far above the stock price the call legs sit. |
| # Of Option Series | Required, default 1. Back-month window = series x 7 days after the front expiry. |
| Total IV % | Optional. Keep only rows whose Total IV (in IV points) is at least this value. |
Columns and metrics
| Column | What it means |
|---|---|
| Symbol / Stock price | The underlying and its price. |
| Total IV | Put IV Difference + Call IV Difference, in IV points. |
| Net Premium | (back put - front put) - (back call - front call), per share. |
| Put IV Difference % | Front-month put IV minus back-month put IV. |
| Put: Back Month / Front Month | The two put legs: Expiry, Strike, PP (premium), Volume, OI, IV %. |
| Call: Front Month / Back Month | The two call legs, same six columns. |
| Call IV Difference % | Front-month call IV minus back-month call IV. |
Percentages are stored as fractions and displayed as percentages (0.05 is shown as 5 %). An unknown value shows as "-", never as 0.
How to read it
- A positive Total IV means the front month is priced richer than the back month (often before earnings or another event).
- A negative Total IV means the back month is richer - the usual shape in calm markets.
- Net Premium compares what the put calendar and the call calendar would cost: positive means the put calendar costs more.
Example
Illustrative only - the symbol and numbers are invented.
XYZ at $100, ranges 10 % / 10 %. Put legs at the 90 strike: front IV 40 %, back IV 34 % - Put IV Difference % 6. Call legs at the 110 strike: front 36 %, back 33 % - Call IV Difference % 3. Total IV 9.
Premiums: front put 0.80, back put 1.50 (put calendar 0.70); front call 0.60, back call 1.20 (call calendar 0.60). Net Premium = 0.70 - 0.60 = 0.10.
Using it in your research
- Find symbols whose near-term options are priced for an event compared with later months.
- Compare the put side and call side to see whether the near-term premium is concentrated below or above the price.
- Model a calendar on the strikes you find in Research → Tools before drawing any conclusion.
Treat every row as a starting point for your own research, not as a signal. Volume and open interest never say whether a trade was a buy or a sell.
Troubleshooting
"No Records Found - no symbol has all four legs inside these ranges"
A row needs a front and back put and a front and back call. Widen the price ranges or raise # Of Option Series.
The report shows "No Records Found"
The filters may be too narrow for the session, or the session has only just opened. Widen a threshold, clear the symbol, or check the as-of time to see which session you are reading. On the Free plan you read the previous session.