methodology · what this actually shows
What is plotted. For each listed option expiry, the OTM call+put midprice ladder is converted to implied volatility, fit with a smoothing spline in IV space, and then repriced on a fine strike grid. The second derivative of call price with respect to strike (Breeden-Litzenberger, 1978) gives the risk-neutral PDF of QQQ at that expiry. The cone shows percentile bands of these per-expiry PDFs interpolated across time.
What the slider does. Controls how many days forward to plot. Expiries beyond the chosen horizon are dropped from the spline.
Source. Spot history via Yahoo Finance v8/finance/chart; option chain via Yahoo Finance v7/finance/options. Both endpoints are CORS-open and unauthenticated. No proxy.
Caveats. Risk-neutral ≠ forecast — the distribution embeds the variance risk premium and overstates left-tail probability vs realized. QQQ options are American; the early-exercise premium is small for short-dated OTM but biases the tails slightly. Bid-ask midpoints can be stale outside RTH. Strikes far in the wings have wide spreads and are extrapolated lognormally. This is descriptive, not predictive.