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Unit 2 — Volatiliteit · Les 5/6 ·

How implied volatility differs across expiration dates, and what the shape of the curve reflects.

Kort antwoord

A stock's options do not share one implied volatility across time. Each expiration carries its own at-the-money IV, and plotting those against days-to-expiration traces the term structure — the volatility curve through time, sibling to the skew across strikes.

In quiet conditions the curve usually slopes gently upward: distant expirations carry slightly higher IV, since more can happen in six months than in six days. The shape inverts when something imminent looms — an earnings date, a ruling, a product decision — lifting near expirations well above far ones.

Options Band's IV30 is read off this curve, interpolating between the expirations that bracket 30 days; the method is described at /methodology/iv30.

Nader bekeken

Because variance — volatility squared — is what accumulates over time, interpolation along the curve is done in variance terms rather than by averaging vol numbers directly. A worked example of the IV30-style calculation with round numbers:

Convert each IV to total variance: 0.28² × 20/365 ≈ 0.0043 and 0.32² × 40/365 ≈ 0.0112. Thirty days sits halfway between the two expirations, so interpolate to roughly 0.0078, re-annualize by multiplying by 365/30, and take the square root: about 30.7%. That lands slightly above the naive 30% average of the two IVs because variance weighting gives the higher, longer-dated reading more pull.

The curve's shape is informative in itself. A hump at one expiration flags an event priced inside that window and not before it; a steeply inverted front end says the market expects near-term turbulence to subside. Once the event passes, the front of the curve typically collapses toward the rest — the mechanics behind the post-earnings IV drop discussed under earnings volatility.

Reading the term structure alongside a summary number matters because IV30 can be identical for two stocks whose curves look nothing alike: one flat and calm, the other carrying a violent front-month bump that the interpolation averages away.

Het formele detail

The natural object is total implied variance, w(T) = σ(T)² × T. Static no-arbitrage requires w(T) to be non-decreasing in T at fixed moneyness; a violation would admit a calendar arbitrage. Forward variance between two expirations follows from the same quantity:

σ_fwd² = (σ₂² × T₂ − σ₁² × T₁) ÷ (T₂ − T₁)

An inverted spot curve can therefore still be internally consistent, provided total variance keeps rising with maturity. Forward variance is also the standard way to isolate an event: given expirations before and after it, the variance attributable to the event window is the difference in total variance — a calculation related to the expected move around earnings.

Limitations and misconceptions: the ATM term structure is one slice of a two-dimensional surface, and "the" curve depends on the moneyness convention used to define ATM at each tenor. An upward slope is not a forecast that volatility will rise — long-dated IV embeds both an expectation and a risk premium. And interpolated points such as IV30 are constructions, sensitive to which listed expirations bracket the target date and to how liquid those chains are.

Volatility skew and smile The VIX

Educatieve inhoud — uitsluitend informatief, nooit advies. Bijgewerkt Sep 02, 2026.

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