We build our own volatility index. Here it is, next to the published one.
Thirty-day variance across every strike of the two expiries around a month, interpolated in variance-time. The same construction the published index uses, run on the chain we can see. We put it here because it is checkable: if the two ever diverge for long, the fault is ours and you find out on this page first.
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Ours, symbol by symbol
The published index is built on one underlying. Ours runs on several, which is the more useful form: the volatility of the Nasdaq is not the volatility of the S&P, and a single number hides that.
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How it is built
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Two differences from the published index are worth knowing. Ours reads delayed quotes rather than live ones, so a fast move shows up here a few minutes late. And the far strikes of a real chain are quoted at a penny even when they are worth less, which lifts any variance construction slightly. Both push in the same direction and neither is hidden.
An index is one number for a whole market. The map is where that number actually bites: the walls, the flip and the expected move on your own chart.
See the IndicatorEverything here is descriptive market-structure context. Not investment advice, not a signal, no performance promise. Past structure does not predict future prices. Trading involves substantial risk of loss.