Introducing Free Moontower Calculators
Free, embeddable, and more to come!
Friends,
I didn’t want to wait until tomorrow’s Munchies to share so pardon my beak.
We released a new suite of tools:
We start with 3 online calculators. We will be adding many more over time.
All free. You don’t even need to sign up for the free moontower access.
All embeddable!
Here’s what’s available now:
Implied Forward Volatility Calculator
The moontower.ai analytics include forward vol matrices but with that calculator you can compute the forward vol any name
Term structure charts like this one for SLV will show little kinks in the road but the matrix is like actually stepping on the pavement to see the bumps and potholes
Optically differences in IV can look small, like if an 11-month IV was 28 and 12-month was 28.5 you might not think much of it, but that will be a pretty high 11-12 month forward vol!
So high,you might suspect there's an event in month 12. We have a calculator for that too...
Introducing the Event Volatility Extractor
Let's use it on the 11-12 month forward example. We can test various event sizes happening in month 12 to see which how large the event must be to make month 12 half a vol richer than month 11 (assuming the term structure should be flat)
=> 4.5% implied move!
Finally we have the Volatility Converter:
If you have a 251 day option model and I have a 365 day model, we will both look at the same straddle price and get different IVs. Why? Because each of our models believes a different DTE (as a fraction of the tenor, 251 or 365) remains!
This tool allows you to translate between models.
[To be fair, this concept is not worth the brain damage for non-pros especially if you don't trade cross asset — for example commodity vs equities where you price one off the other but expiry calendars are out of sync. In a pro setting I actually used a custom tenor that was a hybrid of the 251/365 day models based on a weight given to holidays, overnight, weekends...this smooths the lumpiness of the 251 day model but again overkill unless you are in the fraction of a cent game. In which case you should probably just look at the houses of VCs not option traders and decide what life is better and never think about this again and focus on a getting a strong jawline and a Blinkist account]
Enjoy the calculators. If you notice bugs let me know.
There's more coming and if you have a website/notion/etc, embed the calculators!
Master link: https://moontower.ai/options-calculators
Link to each calculator:
Hi Kris, thanks a lot for your very insightful posts and the tools you provide. Today tried the Event Volatility Extractor but it did not work (calculating for a long time like it's in a loop). Could please check? Thanks!