Glossary for Options, ETFs and Futures

Implied Volatility (IV)

Implied volatility is the range of price movement that is priced into the current option prices of an underlying. It is quoted in percent per year and derived from the market prices of the options.

Historical Volatility (Realised Volatility, HV)

Historical volatility is the actually measured range of price movement over a past time window. It is calculated from daily returns and quoted as an annualised standard deviation in percent.

IV/HV Ratio (IV/HV, IV-HV ratio)

The IV/HV ratio divides the implied volatility of an underlying by its historical volatility. A value above 1 means the options price in more movement than the price has recently shown.

IV Rank (IVR)

IV rank states where the current implied volatility of an underlying sits within its range of the last 52 weeks. 0 corresponds to the yearly low, 100 to the yearly high.

IV Percentile (IVP)

IV percentile is the share of trading days in the last 52 weeks on which the implied volatility of an underlying was lower than today. A value of 80 means IV was lower on four days out of five.

Expected Move (EM, one standard deviation move)

The expected move is an estimate of an underlying's price range up to a given date, derived from implied volatility: one standard deviation up and down. With normally distributed returns around 68% of outcomes fall inside, it is not a guarantee.

IV Term Structure (Volatility Term Structure)

The IV term structure shows the implied volatility of an underlying for different expiry dates, plotted over time to expiry. It makes visible for which periods the option market prices in higher or lower movement.

VIX (CBOE Volatility Index)

The VIX measures the volatility of the S&P 500 that the option market prices in over the next 30 days. It is computed from the prices of SPX options and quoted as an annualised percentage.

VIX3M and VIX/VIX3M Ratio (CBOE 3-Month Volatility Index, formerly VXV)

The VIX3M measures the S&P 500 volatility priced in by the option market over 93 days, the VIX over 30 days. The VIX/VIX3M ratio shows whether short-term volatility is priced above or below three-month volatility.

VVIX (CBOE VIX of VIX, volatility of volatility)

The VVIX measures the volatility of the VIX that the option market expects over the next 30 days, derived from the prices of VIX options. Put simply, it shows how much the market expects the VIX itself to fluctuate.

VXN and RVX (CBOE Nasdaq-100 Volatility Index, CBOE Russell 2000 Volatility Index)

VXN and RVX are the CBOE volatility indices for the Nasdaq-100 and the Russell 2000. They measure the volatility of these indices that the option market prices in over the next 30 days, similar to the VIX for the S&P 500.

SKEW Index (CBOE SKEW, tail risk index)

The CBOE SKEW index measures the skewness of the distribution derived from SPX option prices for the next 30 days. A higher SKEW shows that sharp declines are priced higher relative to a symmetric distribution.

VIX Futures Curve (VIX term structure, VX contracts)

The VIX futures curve shows the prices of VIX futures for different expiries, from the first contract VX1 to later maturities. Its shape shows how the futures market values future VIX levels.

Open Interest (OI, open contracts)

Open interest is the number of open option contracts on an underlying that have not yet been closed out. Each contract counts once, even though a buyer and a seller stand behind it.

Option Volume (Opt Vol, average daily option volume)

Option volume is the number of option contracts on an underlying traded during one session. Averaged over several days, it gives an indication of the activity and liquidity of the option chain.

Put/Call Ratio (P/C, put-call ratio)

The put/call ratio is the ratio of put contracts to call contracts on an underlying or on a whole market. A value above 1 means that, on the data basis used, more puts than calls are counted.

At-the-Money Straddle (ATM straddle)

An at-the-money straddle consists of a call and a put with the same strike near the current price and the same expiration. Its price gives a market-price-based indication of the absolute move priced in until expiration.

DTE (Days to Expiry)

DTE stands for days to expiry and states how many calendar days remain until an option contract expires. On the expiration day itself the value is zero.

Expiration (Expiry)

The expiration is the date on which an option contract ends. Last trading day, exercise rules and settlement depend on the product type.

Ex-Dividend Date (Ex-div)

The ex-dividend date is the first trading day on which a buyer of a stock or ETF is no longer entitled to the announced dividend. Absent other influences, the theoretical price drops by roughly the dividend on that day.

Assignment (Option assignment)

Assignment hits the seller of an option after a holder has exercised: with a put, the seller must buy the underlying at the strike, with a call, deliver it. The net position that results depends on existing holdings.

Sold Premium (Short premium, sold option premiums)

Sold premium is a Foliograph metric for the net opening premiums of the currently open short-premium strategies. It shows how much premium was originally collected on these positions.

Max Loss (Maximum loss, max loss (limited), option max loss)

The max loss is the largest theoretical loss that follows from the payoff profile of an option position. With a common expiration it follows directly from the open legs. For uncovered short calls it is theoretically unlimited.

Hedge Budget (Hedge cost ratio, hedge budget share)

The hedge budget is a Foliograph metric. It relates the entry cost of open hedge positions to the open short premium and shows which share of the premium collected was spent on protective positions.

Roll and Roll Efficiency (Rolling)

A roll closes one option contract and opens another on the same underlying, usually with a later expiration, a different strike or both. Roll efficiency is a Foliograph metric and measures the roll credit per calendar day gained.

Contract Multiplier (Multiplier)

The contract multiplier determines how a quoted option price converts into the cash value of one contract. For standardised US stock and ETF options, one contract normally covers 100 shares. For index and futures options, product-specific factors apply.

Option Strategy (Spread, Iron Condor, Covered Call)

An option strategy is the combination of one or more option contracts, sometimes with the underlying, into a position with a specific payoff profile. Many standard strategies follow from option type, direction, strikes, expirations and quantities of the legs.

AUM (Assets under Management, net assets of a fund)

In Foliograph, AUM denotes the net assets of a fund: the market value of its assets minus liabilities. The metric shows the size of the fund and is stated in US dollars.

NPORT-P (Form N-PORT, portfolio filing with the SEC)

Form N-PORT is a standardised portfolio filing by certain US-registered investment funds with the SEC, with details on fund assets and individual positions. Currently, the report for the end of each fiscal quarter is public.

Grantor Trust (Commodity and crypto trusts such as GLD, SLV or IBIT)

In US tax law, a grantor trust is a trust whose assets and income are attributed directly to the beneficial owners for tax purposes. Several exchange-traded commodity and crypto products are structured as trusts and treated this way for tax.

Holdings (Positions of an ETF, top holdings)

Holdings are the securities and other assets an ETF holds, each with its share of fund assets. The top holdings show how strongly a fund is concentrated in its largest positions.

Treemap (Tiles View) (Heatmap tiles, area chart)

A treemap shows values as rectangles. In Foliograph, the area of each ETF tile is based on AUM but compressed with a square-root scale. The colour shows the return of the selected period.

Correlation Matrix (30-day correlation)

A correlation matrix shows, for every pair from a group of ETFs, how strongly their daily returns were linearly related over a given period. The values range from -1 through 0 to +1.

Country ETF (Single-country ETF)

A country ETF tracks the stock market of a single country, often through an MSCI or FTSE country index. For a US-listed ETF in US dollars, the USD return includes the currency effect and the local market.

Return Relative to a Benchmark (Relative performance, vs SPY, vs ACWI)

The relative return is the difference between the return of an ETF and the return of a reference over the same period. It shows whether the ETF did better or worse than the selected benchmark in that period.

EMA21 (21 EMA, exponential moving average over 21 periods)

The EMA21 is an exponentially weighted moving average with a period length of 21. Recent closes receive more weight than older ones, whose influence declines exponentially. It therefore reacts faster to new price moves than an SMA of the same length.

Distance to the 52-Week High (52WH %, distance to the yearly high)

In Foliograph, the distance to the 52-week high is the percentage gap between the last close and the highest close of the past 52 weeks. Zero means the ETF closed at its 52-week closing high, -20 means a gap of 20%.

SMA50 and SMA200 (Simple Moving Average)

An SMA is the simple average of closing prices over a fixed number of periods. The SMA50 averages the last 50, the SMA200 the last 200 trading days. Every price in the window carries the same weight.

CoT Report (Commitments of Traders, CFTC report)

The CoT report is a weekly report of the US regulator CFTC. For the markets covered it shows how many long and short positions different trader groups hold. The data is usually as of Tuesday and appears on Friday.

Commercials and Non-Commercials (Trader groups in the CoT report, large speculators, small traders)

The Legacy CoT report divides reportable traders into commercials and non-commercials. Commercials use futures for their business in the underlying, while non-commercials comprise the other reportable market participants. The CFTC groups non-reportable positions as small traders.

CoT Index (Commercial index, COT index)

The CoT index shows where the current net position of a trader group lies within its historical range. 0 is the lowest, 100 the highest level in the chosen period. The CFTC does not publish it, it is calculated from CoT data.

Futures Term Structure (Futures curve, forward curve)

The futures term structure shows the prices of different expiry months of a future at a given point in time. It shows whether later contracts trade higher or lower than near-term ones and how prices change along the maturities.

Contango and Backwardation (Upward and inverted futures curve)

Contango means that later futures contracts trade higher than earlier ones. Backwardation is the reverse: near-term contracts trade higher than longer-dated ones. Both terms describe the slope of a futures curve.

Roll Yield (Roll return, roll effect)

Roll yield describes the return effect that arises when a futures position is held across several expiry dates and rolled regularly. With an otherwise unchanged futures curve, contango has a negative effect on long positions, backwardation a positive one.

Front Month and Month Codes (Front contract, F G H J K M N Q U V X Z)

The front month is the futures contract with the nearest expiry. Futures contracts are identified by standardised month codes, for example Z for December. CLZ6 stands for the December 2026 crude oil contract, which already stops trading in November.

Continuous Future (Continuous contract, ES1!, ES=F)

A continuous future is a continuous price series that links several consecutive futures contracts. This makes it possible to show charts and technical indicators over longer periods, although each individual futures contract only trades until its expiry.

Open Interest Range (Open interest over three years)

The open interest range shows where the current open interest of a futures market lies within its historical range. A value of 0 corresponds to the lowest, a value of 100 to the highest level in the chosen period.

Yield Curve (Term structure of interest rates, Treasury curve)

The yield curve shows the yields of a country's government bonds across maturities, from one month to 30 years. If yields rise with maturity, the curve is called normal. If short maturities yield more than long ones, it is inverted.

Win rate (Hit rate, percent profitable)

The win rate is the share of closed trades that end with a profit. It shows how often an approach was successful but says nothing about how large the individual gains and losses were.

Profit factor (PF)

The profit factor relates the sum of all gains to the absolute sum of all losses of a period. A value above 1 means that gains were larger than losses overall, a value below 1 the opposite.

Expectancy (Average result per trade, expected value)

Expectancy shows the result a trade achieved on average in the period under review. It combines win rate, average win and average loss into a single number in the base currency.

R-multiple (R, result in R)

The R-multiple relates the result of a trade to the originally planned risk. For a trade with a stop, 1R equals the possible loss from entry to the initial stop. A gain of 2R equals twice that risk.

Max drawdown (Maximum drawdown, MDD, time in drawdown)

The max drawdown is the largest decline of an equity curve from a previous high to the subsequent low. It shows how far the equity curve temporarily fell below the level it had already reached.

Sharpe ratio (Reward-to-variability ratio)

The Sharpe ratio relates the average return above the risk-free rate to its volatility. It thus shows how much excess return was earned per unit of volatility. The value is usually annualized.

Sortino ratio (Downside risk-adjusted return)

The Sortino ratio relates the average return above a target or minimum return to the negative deviations below that threshold. Unlike the Sharpe ratio, it does not treat positive swings as risk.

Calmar ratio (Drawdown ratio)

The Calmar ratio relates the annualized return to the maximum drawdown. It thus shows how much annual return was earned relative to the largest interim decline.

CAGR (Compound annual growth rate)

CAGR is the constant annual growth rate at which capital would have grown from its starting value to its ending value. It sums up the development over several years in a single annual rate.

MAE and MFE (Maximum adverse excursion, maximum favorable excursion)

MAE and MFE show how a trade developed between entry and exit. The MAE describes the largest adverse price move, the MFE the largest favorable price move during the holding period.

Realized P&L and total return (Realized profit, total return)

Realized P&L covers the results of closed trades. Total return extends this result by dividends, interest, withholding taxes and other fees charged to the account. Deposits and withdrawals do not count as return and are looked at separately.

Base currency (Reporting currency)

The base currency is the currency in which an account or an evaluation sums up all amounts. Gains and losses in other currencies are converted into the base currency for this.

Net Liquidation Value (NLV, account value, net liquidation)

The net liquidation value (NLV) is the value of an account at current valuation prices: cash plus the market value of the positions in the base currency. Simply put, it is what remains after closing all positions at these prices.

Margin (Initial and maintenance margin, margin requirement, collateral)

Margin is the collateral a broker requires for open positions. Initial margin applies when a position is opened, maintenance margin must stay covered afterwards. Otherwise the broker can call for more funds or close positions.

Premium/Margin (Return on margin, remaining/margin p.a., remaining yield)

Premium/margin relates the premium collected from selling options to the margin contribution of the trade. It describes how much premium was collected per unit of collateral tied up.

Excess Liquidity and Cushion (Margin reserve, margin cushion)

Excess liquidity is the reserve of a margin account at Interactive Brokers: equity with loan value minus maintenance margin. The cushion relates it to the net liquidation value. If it falls below zero, the broker can close positions.

Glossary: Terms from Volatility, Options, ETF Analysis, Futures and Performance

Volatility

Options

Funds

Trend and technicals

Futures markets

Macro

Performance

Account and portfolio