Implied Volatility Term Structure
Calculate the term structure of implied volatility: the at-the-money implied volatility of every expiry, interpolated at the current price and averaged over calls and puts. Normally longer expiries carry a higher volatility (contango); an inverted curve, with short-dated options dearer than long-dated ones, shows that the market expects turbulence soon, as around earnings or in a sell-off.
Also known as: volatility term structure, IV curve, volatility curve.
Implied Volatility Term Structure in Python or via the MCP
Install the Finance Toolkit with:
pip install financetoolkit -U
Then call get_implied_volatility_term_structure as shown below.
from financetoolkit import Toolkit
toolkit = Toolkit(["AAPL", "TSLA"], api_key="FINANCIAL_MODELING_PREP_KEY")
toolkit.options.get_implied_volatility_term_structure(number_of_expirations=5)
Or, after setting up the Finance Toolkit MCP, ask:
What does the at-the-money implied volatility term structure of Apple and Tesla look like over their next five expirations?
Which returns:
| Days to Expiration | At-the-Money Volatility | |
|---|---|---|
| (‘AAPL’, ‘2026-10-26’) | 2 | 0.1637 |
| (‘AAPL’, ‘2026-10-28’) | 4 | 0.2136 |
| (‘AAPL’, ‘2026-10-30’) | 6 | 0.2273 |
| (‘AAPL’, ‘2026-11-06’) | 13 | 0.319 |
| (‘AAPL’, ‘2026-11-13’) | 20 | 0.2967 |
| (‘TSLA’, ‘2026-10-26’) | 2 | 0.297 |
| (‘TSLA’, ‘2026-10-28’) | 4 | 0.3781 |
| (‘TSLA’, ‘2026-10-30’) | 6 | 0.4003 |
| (‘TSLA’, ‘2026-11-06’) | 13 | 0.4124 |
| (‘TSLA’, ‘2026-11-13’) | 20 | 0.4058 |
Parameters
get_implied_volatility_term_structure accepts the following parameters.
| Parameter | Type | Description | Example |
|---|---|---|---|
expiration_dates | list[str] | None | The expiries to use. Defaults to None, the nearest number_of_expirations expiries. | ["2027-12-17", "2028-01-21"] |
number_of_expirations | int | The number of nearest expiries to use when no dates are given. Defaults to 10. | 4 |
rounding | int | None | The number of decimals to round the results to. Defaults to None, which uses the Toolkit’s rounding. | 2 |