Fixed Delta Vols
What It Shows
Fixed Delta Vols (FDV) tracks implied volatility through time at specific delta levels. Rather than following a fixed strike, each line follows a fixed position on the options curve — the 25 delta put, the 10 delta call, and so on — as the underlying moves and time passes.
This makes it easy to see whether the market is repricing vol uniformly across the surface, or whether specific regions (wings, ATM, one side) are moving independently.
Delta Levels
Nine delta levels are available, spanning from deep puts to deep calls:
| Delta | Description |
|---|---|
| Δ0.10 | Deep put — far out-of-the-money put tail |
| Δ0.20 | Put wing |
| Δ0.30 | Put side |
| Δ0.40 | Near put |
| Δ0.50 | At-the-money |
| Δ0.60 | Near call |
| Δ0.70 | Call side |
| Δ0.80 | Call wing |
| Δ0.90 | Deep call — far out-of-the-money call tail |
Each delta level can be toggled on or off independently. Focus on only the levels relevant to your positioning.
Reading the Chart
The y-axis shows implied volatility (annualized). The x-axis is time. Lines are color-coded by delta level, with put-side levels in warm tones and call-side in cool tones.
Watch for:
- Parallel shifts — the entire surface moving together, often driven by a change in realized vol or a macro event
- Wing expansion — tails moving up independently of ATM, indicating demand for tail protection
- One-sided moves — only puts or only calls repricing, reflecting directional hedging activity
- ATM vs. wing divergence — compression or expansion of the smile without a parallel shift
DTE Filter
Use the DTE selector to choose which expiration is displayed. The view defaults to the nearest active expiration (0DTE when available). You can switch to a specific weekly or monthly expiry to compare surface dynamics across tenors.