Judging whether options are expensive using volatility history
Recorded in cvforge on July 1, 2026 by ConvexValue · Published July 25, 2026
A dashboard for reading single-name volatility over time, so today’s implied level can be compared with where that name has traded rather than an absolute threshold.
Exact prompt
Create a dashboard that lets me analyze historical volatility data for single names to better understand relative value of options prices over time
Data cadence
End-of-day historical options aggregates: daily open, high, low, close, volume and open interest per contract.
Plan requirements
Needs the Research data plan, which adds end-of-day historical options aggregates. The rest of the build runs on the free tier.
Fields used
open_interest, day_volume, strike_price, expiration_date, contract_type
How to read it
“Relative value over time” is the right frame: 40% implied volatility is cheap for one name and expensive for another, so the only useful comparison is against a name’s own distribution.
One boundary to state plainly, because it is where similar tools overreach: this shows the history of volatility levels. It is not an implied-volatility rank or percentile product, and a percentile computed from a short window of end-of-day data is a much weaker number than it looks. Read the series, not a single score.
Change it
The prompt is the interface. Ask for a different ticker, a different expiration window, or an extra column in the same sentence style and the agent edits the app in place — you do not start over, and you do not wait for anyone to build it.
Limitations
- Historical options data is end-of-day aggregates, so intraday paths within a day are not available.
- A study over a long window covers contracts that have since expired; survivorship and roll choices change the result.
- Backward-looking results are not evidence about forward returns.
Related demos
- MU option volume against its 90-day average, as a heatmap
- Today’s action on MU and SNDK against their own history
- Backtesting a monthly 30-DTE SPY call spread
Search focus: historical volatility analysis single stock. Related: are options expensive relative to history, volatility history dashboard. Originally posted on X.