SPY · spot 769.35 · 14 of 17 liquid groups fitted

The smile,
and its noise floor.

Implied volatility per strike against moneyness, with a cubic fitted across the liquid strikes only. A dot is coloured only if its distance from the curve exceeds that strike's own bid-ask noise. Everything grey scores exactly zero and is ignored.

rich · IV above the curve cheap · IV below the curve inside its own spread · scores zero
2026-09-08 · calls n=19 · degree 3 · rmse 0.059v · 2 of 19 clear their own spread
7.99.210.511.8-0.09-0.03+0.03+0.09+0.15 moneyness ln(K/S)/sqrt(T) IV %
2026-09-08 · puts n=17 · degree 3 · rmse 0.081v · 3 of 17 clear their own spread
8.610.312.113.8-0.16-0.10-0.04+0.03+0.09 moneyness ln(K/S)/sqrt(T) IV %
2026-09-09 · calls n=16 · degree 3 · rmse 0.081v · 5 of 16 clear their own spread
7.78.910.211.4-0.07-0.02+0.04+0.10+0.16 moneyness ln(K/S)/sqrt(T) IV %
2026-09-09 · puts n=11 · degree 3 · rmse 0.048v · 1 of 11 clear their own spread
9.410.912.313.8-0.15-0.11-0.06-0.02+0.03 moneyness ln(K/S)/sqrt(T) IV %
2026-09-11 · calls n=50 · degree 3 · rmse 0.321v · 11 of 50 clear their own spread
7.910.713.516.3-0.19-0.10+0.00+0.10+0.19 moneyness ln(K/S)/sqrt(T) IV %
2026-09-11 · puts n=41 · degree 3 · rmse 0.153v · 12 of 41 clear their own spread
8.911.313.816.2-0.20-0.12-0.05+0.03+0.10 moneyness ln(K/S)/sqrt(T) IV %
2026-09-18 · calls n=50 · degree 3 · rmse 0.432v · 25 of 50 clear their own spread
8.411.314.317.3-0.19-0.10+0.00+0.10+0.20 moneyness ln(K/S)/sqrt(T) IV %
2026-09-18 · puts n=45 · degree 3 · rmse 0.095v · 20 of 45 clear their own spread
11.813.915.917.9-0.19-0.10-0.01+0.09+0.18 moneyness ln(K/S)/sqrt(T) IV %
2026-09-25 · calls n=45 · degree 3 · rmse 0.102v · 18 of 45 clear their own spread
9.19.910.811.6-0.02+0.03+0.09+0.14+0.20 moneyness ln(K/S)/sqrt(T) IV %
2026-09-25 · puts n=47 · degree 3 · rmse 0.092v · 28 of 47 clear their own spread
11.714.016.318.6-0.20-0.14-0.08-0.02+0.03 moneyness ln(K/S)/sqrt(T) IV %
2026-09-30 · calls n=68 · degree 3 · rmse 0.410v · 30 of 68 clear their own spread
8.710.712.814.8-0.17-0.08+0.01+0.11+0.20 moneyness ln(K/S)/sqrt(T) IV %
2026-09-30 · puts n=55 · degree 3 · rmse 0.100v · 27 of 55 clear their own spread
11.714.016.418.8-0.20-0.14-0.08-0.01+0.05 moneyness ln(K/S)/sqrt(T) IV %
2026-10-02 · calls n=39 · degree 3 · rmse 0.083v · 24 of 39 clear their own spread
9.510.311.112.0-0.03+0.02+0.07+0.13+0.18 moneyness ln(K/S)/sqrt(T) IV %
2026-10-02 · puts n=39 · degree 3 · rmse 0.111v · 24 of 39 clear their own spread
12.214.516.819.0-0.20-0.14-0.08-0.02+0.05 moneyness ln(K/S)/sqrt(T) IV %
This is a measurement, not an edge. Across the live chain only about a fifth of liquid strikes clear their own spread at all, and the median one that does is worth roughly $3.94 per contract against a $4.00 median quoted spread. Richness is therefore used only to break ties between strikes that are already viable on liquidity, DTE and risk grounds. It is never a filter and never a reason to trade. Method and limits: docs/research/smile-feasibility.md.