Definition. Options Implied Volatility Smile depicts the implied volatilities of options with different strikes for the chosen expiration date. Options further out of the money usually have higher implied volatilities, producing the characteristic "smile" shape.

Technical. The legend reports historical overlays showing the shape of the smile 1 day, 2 days, 1 week, and 2 weeks ago.

Interpretation. The steepness and shape of the smile can be used to assess the relative expensiveness of options and to gauge the tail risks priced in by the market. For example, lower implied volatilities at extreme strikes today than in the historical overlays indicate that the market is pricing in reduced tail risk relative to medium-sized moves.