SPY surface, close of 6 Nov 2026
Pitfield St is an independent research firm bringing institutional-grade options and equity data to individual traders.
Each line is a strike. Each point is one expiry's implied volatility at the last close, and the points of one expiry trace its smile.
We capture it through the day and at every close, show how every number is calculated, and trade on it ourselves.
1Today
Every trading day we fit volatility surfaces to the SPY option chain, every half hour and again after the close, and capture every listed US stock from the consolidated tape. This site publishes what a professional desk would build from that data, for free, along with how each number is calculated and what had to be thrown out. We trade on the same data ourselves. We don't publish what we trade.
Last published session: 2026-11-06.
1.1The session
Taken after today's close. These are the numbers behind the chart at the top of the page.
- SPY close
- 735.96
- 30-day implied
- 19.71%
- 21-day realized
- 19.95%
- Risk reversal, 25Δ
- 7.84%
- Term slope, 90 − 30
- -1.14%
Updated 4:25 PM ET 42 trading days archived 540,503 contract-days
1.2The equity market
Every listed US company, 4,067 of them, captured after the close. We pay most attention to small and mid caps, which the big indices barely register.
- Advancing
- 501of 4,019
- Equal-weighted day
- −4.74%
- Small caps, day
- −4.83%
- Mid caps, day
- −3.65%
- Above 200-day average
- 42%
The whole market by size, sector and time of day
1.3Implied against realized
Options usually price in more movement than actually happens. The gap between implied and realized volatility is called the variance risk premium, and it's one of the most reliable patterns in options markets. You can see it in the chart below without any model.
1.4What the pipeline does
How the options numbers are made, in four steps. The methodology page has the formulas.
Extract the forward
We back out the forward price and the interest rate from the option prices themselves, using put-call parity, so nothing depends on a guess about dividends.
Invert to implied volatility
Each option's price becomes an implied volatility through the Black-76 formula. The fit leans on liquid options near the money rather than the thinly traded wings.
Fit an arbitrage-free surface
Each expiry gets a smooth SVI curve, constrained so the surface can't imply negative probabilities, and so total variance can't fall as maturity gets longer.
Publish what was thrown away
Crossed markets, zero bids, stale quotes and failed fits are counted and published next to the results, on the quality page.
- Expiries fitted
- 34
- Butterfly condition
- 34of 34 pass
- Calendar violations
- 0
- Chain excluded from fits
- 56.3%
1.5Latest research
Our most recent notes. Each one is dated, and its numbers stay as they were on that day.