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Are there any inexpensive tools, web-sites or services you know of where one can see:

a) current implied volatility skew for an option chain

b) historic implied volatility skew

Thanks

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for a) consider http://www.samoasky.com - they have a free tool called optionsoracle which allows you to download option chains for most markets automatically, and plot a "volatility smile", which you can then filter out for expiry, calls/puts etc.

for b) I don't know any tool, but I did write one myself in C# and Zedgraph, which was a timer animated client side tool. You might want to check http://www.hoadley.net/options/options.htm for some applications that could ease the job for you.

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  • Thanks Deepak! Have you used samoasky? I'm wondering how likely it is to be free of spyware or viruses?
    – Ray K
    Dec 10, 2011 at 1:49
  • I have it, and haven't had a virus on it (checked with Trend and AVG) and I've used it on multiple computers. It's also written in C#, btw. (Not associated with them in any way :) )
    – Deepak Shenoy
    Dec 10, 2011 at 4:54

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