Hermēs DocumentationVol Intelligence
Vol Intelligence is the options trader's volatility command center — five tabs covering IV percentile and variance risk premium, skew, term structure, the market-implied probability distribution (Breeden-Litzenberger) and Vanna·Charm hedging flow. Requires Pro.
Vol Intelligence is the options trader's volatility command center. In five tabs it answers "is this volatility rich, which way does it skew, how is the term structure stacked, where does the market think expiry lands, and where is the dealer's second-order hedging flow headed" in one place. Requires Pro.
Open it in the Options Desk via ＋ New Window → Vol & Unusual Flow → Vol Intelligence. If you only want the smile/skew without the full panel, use the lighter Vol Curve window.
Who it is for
Options / volatility traders. Before selling premium, confirm IV percentile and variance risk premium (VRP) are thick enough; before taking direction, check whether skew and the Vanna regime are tailwind or headwind; before placing a structure, use the implied distribution to test the odds on your breakeven.
The five tabs
① Overview
Large numbers up top give ATM IV and the ±1σ intraday expected move; below, the IV Rank bar shows where current IV sits in its historical range; realized vol · VRP (vs HV5/10/20) judges whether implied is rich or cheap relative to realized; plus GEX · CVR percentile, skew readouts, and a market state + suggested strategy card.
② Vol Compare (smile / skew)
Overlaid IV smile curves for near vs next-near expiry, with a metrics table: Put-side IV, Call-side IV, skew (near / next-near). Click to leg right on the chart — click to buy, Shift to sell, Alt to toggle C/P — sent straight to the Strategy Workshop.
③ Implied Distribution (Breeden-Litzenberger)
The market-implied probability distribution: green = profit range, red = loss range, yellow line = current price, overlaid with 0γ / CW / PW key levels. If you already built a structure in the Strategy Workshop, this gives the market-implied P(profit) / P(loss) directly; distribution stats give P(up), P(down), probability peak. This is "the market's own odds table for you".
④ Term Structure
The ATM IV term structure curve, labeled Backwardation (near high / far low, panic) / Contango (near low / far high, normal) with the slope, and puts 0DTE and next-near side by side. Use it to time selling near / buying far, or to avoid the event front month.
⑤ Vanna · Charm
Dealer second-order hedging flow: Vanna regime, net Vanna, strength, flip level, peak+, plus a per-strike Vanna distribution (OI-weighted); Charm (time Delta decay) gives net Charm's buy/sell tail bias. Into the close and during sharp IV moves, this tab decides "where hedging flow drags price".
How to read it (rules of thumb)
High IV Rank + thick VRP → selling premium favored (iron condor / spread). IV compressing + bullish Vanna regime → dealers cover longs → upside tailwind. Implied-distribution yellow line far from the probability peak → mean-reversion odds rise. Stronger Charm magnet into the close → price pulled toward high-OI strikes.
Typical workflow
- Set the tone in Overview: is IV rich (IV Rank / VRP), should you buy or sell vol today.
- Read which way skew leans in Vol Compare, and click to leg on the way.
- Confirm in Term Structure whether sell-near/buy-far holds and whether there's an event front month to avoid.
- Build the candidate structure in the Strategy Workshop, then return to Implied Distribution for its P(profit).
- Into the close, switch to Vanna·Charm and, combined with your positions' target prices, decide on trimming / rolling.
Next steps
Frequently asked questions
What subscription does Vol Intelligence need?
Vol Intelligence is a Pro window — log in with a Pro or higher subscription.
What is the market-implied probability distribution?
It uses the Breeden-Litzenberger method to back out the risk-neutral probability density of the expiry price from option prices — green is the profit range for your position, red is the loss range, the yellow line is the current price — so you can test directly what probability your breakeven sits on.
What are Vanna and Charm used for?
Vanna reflects how IV changes shift dealer Delta-hedging demand; Charm reflects the Delta decay from the passage of time. Together they determine which way hedging flow pushes price into the close and during IV moves.
Option Chain
The Option Chain window stacks real bid/ask, volume, open interest, IV and Greeks alongside per-strike GEX for every strike — the workhorse window for US equity and ETF options traders to pick contracts and validate structure. Requires Pro.
Vol Curve
Vol Curve is a lightweight window focused only on the near and next-near IV smile, skew, term slope and the expected intraday ±1σ, and it lets you click a point on the curve to send a leg straight into the Strategy Workshop. Requires Pro.