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ORATS summarizes the term structure parameters using the implied volatility at-the-money for each expiration. The summarized IV term skew can then be compared to the actual expiration IVs to observe any outlier months and the shape of the term structure can be observed for clues about the up-coming expected movement in the stock.

ORATS calculates what the implied volatility (IV) may fall to after expiration.

ORATS calculates the expected earnings move in stocks based on options prices.

SPY stock price on top of implied and realized volatilities. Do you see any patterns?

Investors are buying puts in the NDX and pushing up the skew. Skew measures the difference in low strike puts implied volatility vs high strike calls implied volatility.

The perennial favorite in put protection, SPY is being challenged by tail risk upstart QQQ. The ORATS measurement of skew has been falling in SPY recently and rising in QQQ to where the two measurements are almost equal.