Definition. Downside Implied Volatility measures downside-focused implied volatility derived from OTM puts, integrated across strikes and time-weighted to fixed tenors. In aggregate, it captures the premium the options market is paying for protection against falling prices. It is one of the two core components that underpin the Glassnode Skew Index.

Interpretation. Use alongside Upside Implied Volatility and the Glassnode Skew Index to diagnose whether call-demand (upside tails) or downside hedging is driving market asymmetry.

Notes. For further details, see Measuring Market Asymmetry: The Glassnode Skew Index.

This is the Point-in-Time (PiT) variant of Downside IV. PiT metrics are strictly append-only and their history is immutable. The historic data does not necessarily reflect the best current knowledge, but the information at the time when a data point was first computed. PiT metrics are ideal candidates for applications in model backtesting and related quantitative purposes. Read our article on PiT metrics for more information.