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Implied Volatility per Open Interest

Leveraging Implied Volatility and Open Interest to identify Sticky Strikes

This model aggregates Implied Volatility and Open Interest by strike. It helps to confirm which strikes are more sticky from an Open Interest and Implied Volatility perspective. Spikes help identify strike levels that have both high Open Interest and high Volatility. Those strikes generally become sticky strikes. This chart can be used in conjunction with the Menthor Q Key Levels and Net Gamma Exposure for confirmation.

How can you benefit from this quantitative model?

Sticky Strikes

By identifying strikes with both high Open Interest and high Implied Volatility, traders can pinpoint ‘sticky strikes’ that are likely to influence market behavior.

Risk Management

Understanding where significant positions and volatility converge allows traders to better anticipate potential price movements and adjust their risk.

Reaction Zones

Combine open interest (OI) and implied volatility (IV) to better confirm reaction zones.

Trading Strategies

By leveraging data on sticky strikes, traders can develop and refine strategies that take advantage of predictable market behaviors.
Sticky Strikes

Sticky Strikes

Higher IV reflects increased demand for options at specific strikes. Open interest (OI) confirms the “stickiness” of these strikes.

Monitoring IV and OI helps identify market trends by showing the level of trading activity and investor interest in specific strikes.

A spike indicates significant open interest (OI) nodes and high volatility at that strike. 

Market Sentiment

Market Sentiment

Tracking open interest and IV provides insights into investor sentiment and potential price direction.

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      Useful for

      Day Trader
      ETFs Trader
      Options Trader
      Stock Trader
      Swing Trader

      Assets

      Commodities
      ETFs
      Indices
      Stocks