IV term structure

Why IV term structure matters

The term structure shows how at-the-money implied volatility differs across every listed expiry, all measured at the same moment. It's the shape of the market's uncertainty over time — whether traders are pricing in roughly the same volatility regardless of horizon, or specifically loading up on near-term risk ahead of a known event.

Reading the term structure

An upward-sloping curve (near-dated IV below far-dated) is the normal "contango" shape — the market prices more uncertainty the further out you look. A downward slope or a spike at the near expiry ("backwardation") usually means an event is priced into the nearest contract specifically — a policy announcement, an earnings-style catalyst, or general near-term nervousness expected to fade. Compare against India VIX, which is NSE's own 30-day forward measure and won't always agree with a single ATM strike's back-solved IV.

• Normal contango (upward slope) — routine, more time means more uncertainty priced in.
• Backwardation (near expiry spikes) — a specific near-term event is being priced, worth checking the calendar for what's driving it.
• Flat curve — the market sees similar uncertainty across all horizons, no dominant near-term catalyst.

Methodology & data

NSE and BSE don't publish implied volatility directly, so ATM IV at each expiry is back-solved from that strike's own last-traded price via Black-Scholes — the same method used on the gamma exposure and skew pages. This is a single-moment snapshot across expiries, not a historical time series.