Trying to understand why my broker always shows monday's implied volatility to be much much lower than friday's. This is something I have looked at for months and still don't understand so I come seeking opinions and knowledge.
|Expiry|ATM IV|Fvol|
|:-|:-|:-|
|1/21/2026|19%| |
|1/22/2026|16%|16.060%|
|1/23/2026|16%|15.270%|
|1/26/2026|13%|10.620%|
|1/27/2026|13%|15.488%|
Here is what the SPX options are showing right now. For those that don't know, Fvol stands for Forward Volatility, which is essentially breaking out each day's implied volatility from the curve. so just for example if today's vol is 10% and tomorrow's is 7.5%, if you consider that tomorrow's also includes todays, once todays rolls off tomorrow will really be 5%. The Fvol calculation attempts to take the individual day's volatility out of the curve. But you don't even need it to see that monday's ATM IV drops off bigtime. There are a few poentital reasons for this that I can come up with on my own:
* the VIX "weekend effect"
* mondays really are just lower volatility and so this is an accurate forecast
* my broker's calculations are wrong
Is it one or all of these or something else I haven't noticed? Appreciate any knowledge in advance.