SOFI

$15.42NEUTRAL

spot: 2026/11/15 05:12:46 UTC

analytics: 2026/11/15 16:41:44 UTC

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Volatility Regime

Macro VCG—— · vcg = —

No dealer regime data yet.

VRP

-0.17

CHEAP

IV (ATM)

49.7%

RV

66.6%

IV Rank

20

1y rank 20

IV %ile 30d

24

Implied Move 30d

9.7%

IV 52w Low

42.9%

IV 52w High

79.1%

RV 52w Low

26.0%

RV 52w High

88.8%

Skew 25Δ

+10.9264

IV materially below RV — long-vol structures favored.

Building 1-year history… (≤30s)

Analytical time series

IV / IV-of-IV

— IV (L)— IV-of-IV (R)

Analytical time series

RV / SPY-corr-1m

— RV (L)— SPY-corr-21 (R)

20 sessions

Regime Quadrant

GoldilocksFragile CalmStock PickerSystemic Panic

Systemic Panic: high vol, high corr — broad de-risking

20-session overlay

IV-z vs RV-z

-0.86σ

— IV-z— RV-z

Today's snapshot

IV by DTE

Term Structure

— ATM-2 ($14.50)— ATM-1 ($15.00)— ATM ($15.50)— ATM+1 ($16.00)

Today's IV by strike — one curve per expiration date

Smile

— 2026-11-06— 2026-11-13— 2026-11-20— 2026-11-27

IV (fwd ~30d) vs RV (trailing 21d) — lag is the VRP

HV / IV

— IV— RV

Last 1y

IV %ile Distribution

18th %ile

30-session bars + smoothed z-overlay

VRP Spread

-0.17 pts | compressing +0.02 pts