Stocks IV Ranks and IV Percentile (MarketXLS)

IV rank and IV percentile both show whether a stock's current implied volatility (IV) is high or low relative to its own history. IV rank uses only the high and low of the lookback: (current IV minus the period low) divided by (period high minus period low). IV percentile is the share of days in the lookback when IV was lower than today. In Excel, MarketXLS returns them directly with =ImpliedVolatilityRank1y("AAPL") and =ImpliedVolatilityPct1y("AAPL"), with one-month versions also available. The full list of implied volatility functions added in this release is below.

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IntroductionHistorical DataOptions DataUse-cases

Read ORATS' explanation of calculating expected implied volatility after earnings.

Implied volatility functions added in this update

• ImpliedVolatility(symbol, date): Implied volatility at 30 days interpolated.

• ImpliedVolatilityRank1m: A measure of implied volatility vs. its past month’s values,   but it looks only at the highest and lowest values. The formula is (Current IV – 1 month Low IV) / (1 month Max – 1   month Min).

• ImpliedVolatilityPct1m: A measure of implied volatility vs. its past month’s values. If the IV percentile is 36%, the current IV value is higher than 36% of the previous month’s values (and lower than 64%).

• ImpliedVolatilityRank1y: A measure of implied volatility vs. its 1-year past values, but it looks only at the highest and lowest values. The formula is   (Current IV – 1 yr Low IV) / (1 yr Max – 1 yr Min).

• ImpliedVolatilityPct1y: A measure of implied volatility vs. its past 1-year values. If the IV percentile is 36%, the current IV value is higher than 36% of previous 1-year values (and lower than 64%).

• ImpliedVolatility10d: 10 calendar days interpolated implied volatility

• ImpliedVolatility20d: 20 calendar day interpolated implied volatility

• ImpliedVolatility30d: 30 calendar day interpolated implied volatility

• ImpliedVolatility90d: 90 calendar day interpolated implied volatility

• ImpliedVolatility6m: 6-month interpolated implied volatility

• ImpliedVolatility1y: one-year interpolated implied volatility

• ExEarningsImpliedVolatility10d: Implied 10 calendar days interpolated implied volatility with earnings effect out.

• ExEarningsImpliedVolatility20d: Implied 20 calendar day interpolated implied volatility with earnings effect out.

• ExEarningsImpliedVolatility30d: Implied 30 calendar days interpolated implied volatility with earnings effect out.

• ExEarningsImpliedVolatility60d: Implied 60 calendar day interpolated implied volatility with earnings effect out.

• ExEarningsImpliedVolatility90d: Implied 90 calendar day interpolated implied volatility with earnings effect out.

• ExEarningsImpliedVolatility6m: Implied 6-month interpolated implied volatility with earnings effect out.

• ExEarningsImpliedVolatility1y: Implied one-year interpolated implied volatility with earnings effect out.

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