Definitions with coordinates
Volatility and volume glossary.
A compact reference for the terms used across ivol.xyz, written to preserve horizon, units, market structure, and methodology.
Core vocabulary
Thirty-two terms for reading volatility and volume.
Definitions are written for visual analysis. Exact conventions can vary by market, model, data vendor, and platform.
- Annualization
- Scaling a short-horizon volatility estimate to a yearly rate, commonly with a square-root-of-time convention.
- Ask-classified volume
- Executed volume classified at or near the ask, often interpreted as aggressive buying under the platform's method.
- Backwardation
- A futures-curve shape in which nearer contracts are above later contracts, under the selected ordering.
- Bid-classified volume
- Executed volume classified at or near the bid, often interpreted as aggressive selling under the platform's method.
- Contango
- A futures-curve shape in which later contracts are above nearer contracts.
- Constant maturity
- A constructed series that maintains a target horizon through interpolation or rolling between listed maturities.
- Cumulative delta
- The running sum of ask-classified volume minus bid-classified volume over a chosen reset period.
- Delta imbalance
- A highlighted relationship between buy- and sell-classified volume that exceeds a configured ratio and minimum.
- Expected move
- An estimated price distance derived from volatility, price, and horizon under a stated convention; not a hard boundary.
- Footprint chart
- A bar that displays price-level execution data such as bid volume, ask volume, delta, or imbalance.
- Forward volatility
- A derived volatility estimate for a future interval between two maturities, often calculated from implied variances.
- Historical volatility
- A backward-looking volatility estimate calculated from past prices or returns; often used interchangeably with realized volatility in casual usage.
- Implied volatility
- The volatility input that reconciles an option-pricing model with an observed option price for a strike and expiration.
- IV percentile
- The share of historical observations below the current implied-volatility reading within a stated lookback.
- IV rank
- The current implied-volatility reading positioned between the minimum and maximum over a lookback.
- Liquidity
- The ability to transact with limited price impact, often assessed through spreads, depth, resilience, and execution quality.
- Low-volume node
- A relatively thin region in a volume-by-price distribution.
- Moneyness
- A representation of strike relative to spot or forward price, used to compare option positions across dates and assets.
- Open interest
- The number of outstanding derivative contracts that remain open under the market's counting convention.
- Point of control
- The price row with the greatest volume in a selected volume profile.
- Realized volatility
- An estimate of observed return variation over a defined sample, frequency, estimator, and annualization convention.
- Risk regime
- A descriptive or model-estimated state intended to summarize current market conditions; not a directly observed fact.
- Roll yield / roll effect
- The return contribution associated with replacing one futures contract with another along a curve, distinct from spot movement.
- Skew
- A directional difference in implied volatility across strikes or deltas for the same maturity.
- Smile
- A strike pattern in which implied volatility is higher in both wings than near the center.
- Term structure
- A curve of comparable volatility measures or futures prices across maturities.
- Turnover
- Trading activity scaled by a relevant base, such as shares outstanding or portfolio value.
- Value area
- A platform-defined price range intended to contain a configured share of volume within a profile.
- VIX
- The Cboe Volatility Index, designed to represent a constant 30-day expectation of S&P 500 volatility from SPX options.
- Volatility clustering
- The tendency for large changes to occur near other large changes and small changes near other small changes.
- Volatility surface
- Implied volatility organized across strike or moneyness and expiration.
- Volume profile
- A horizontal distribution that accumulates trading volume by price over a selected range.
Definitions need coordinates.
When a term appears in a chart, look for the asset, horizon, unit, source, sampling rule, and timestamp that make the label specific.