Implied Volatility Screener: How to Screen, Filter, and Find High-IV Options in Excel

Implied Volatility Screener is an essential tool for any options trader who wants to systematically find contracts with elevated or depressed volatility levels. Whether you are selling premium on high-IV options, buying cheap options before volatility expansion, or constructing volatility-based strategies like straddles and iron condors, an IV screener helps you identify the best opportunities across hundreds of stocks and thousands of contracts in seconds.

In this comprehensive guide, we will cover what implied volatility is and why it matters, how to screen for high and low IV options, how to build your own implied volatility screener in Excel using MarketXLS formulas, key IV metrics like IV Rank and IV Percentile, practical strategies based on IV screening results, and a comparison of different IV screening approaches.

Table of Contents

• What Is Implied Volatility?
• Why Screen for Implied Volatility?
• Key IV Metrics for Screening
• High IV vs Low IV: What to Look For
• How to Build an Implied Volatility Screener in Excel
• MarketXLS Formulas for IV Screening
• Screening Methods Comparison
• Strategies for High Implied Volatility Stocks
• Strategies for Low Implied Volatility Stocks
• IV Screening Before Earnings
• Common IV Screening Mistakes
• Advanced IV Screening Techniques
• Frequently Asked Questions
• Conclusion

What Is Implied Volatility?

Implied volatility (IV) is a forward-looking measure that represents the market's expectation of how much a stock's price will move over a specific period. Unlike historical volatility (which measures actual past price movements), implied volatility is derived from the current market price of an option using an options pricing model such as Black-Scholes.

IV is expressed as an annualized percentage. For example, an IV of 30% for AAPL means the market expects AAPL to move approximately 30% up or down over the next year (with a 68% probability, based on one standard deviation).

How IV Affects Option Prices

Implied volatility has a direct, positive relationship with option prices:

• Higher IV = More expensive options: When IV rises, both calls and puts become more expensive because the market is pricing in a greater expected price movement.
• Lower IV = Cheaper options: When IV drops, options become cheaper because the expected price movement has decreased.

This relationship is the foundation of all IV-based trading strategies. Option sellers want to sell when IV is high (expensive premiums), and option buyers want to buy when IV is low (cheap premiums).

What Drives Implied Volatility?

Several factors cause IV to rise or fall:

• Earnings announcements: IV typically rises in the weeks before earnings and collapses immediately after (IV crush).
• Economic data releases: Jobs reports, CPI data, Federal Reserve meetings, and GDP reports can spike IV across the market.
• Company-specific events: FDA decisions, product launches, lawsuits, and M&A rumors all increase IV for individual stocks.
• Market-wide fear: During market selloffs, IV rises broadly as the VIX (the "fear index") climbs.
• Supply and demand for options: Heavy buying of options (especially puts for hedging) raises IV.

Why Screen for Implied Volatility?

Screening for implied volatility is critical because IV is the single most important factor determining whether an option is "expensive" or "cheap" relative to its historical norm. Without IV screening, you are essentially trading options blind.

For Premium Sellers

If you sell options (covered calls, cash-secured puts, iron condors, credit spreads), you want to sell when IV is high because:

• Higher IV means higher premiums collected
• When IV eventually contracts (mean reversion), the options you sold decrease in value, creating profit
• Statistically, implied volatility tends to overstate realized volatility, giving sellers an edge

For Premium Buyers

If you buy options (long calls, long puts, straddles, strangles), you want to buy when IV is low because:

• Lower IV means cheaper premiums paid
• If IV expands after your purchase, the option increases in value even if the stock has not moved significantly
• Buying low-IV options before catalysts (earnings, events) captures the IV expansion

For Volatility Traders

Some traders specifically trade volatility itself rather than direction. They buy options when IV is historically low and sell when IV is historically high, profiting from IV mean reversion regardless of which direction the stock moves.

Key IV Metrics for Screening

Not all IV readings are equally useful. The absolute IV number tells you the current level, but you also need context to determine whether that level is high or low relative to history.

Current Implied Volatility

The raw IV percentage for a specific option contract or the underlying stock's overall IV (usually calculated as a weighted average of near-term option IVs).

IV Rank (IVR)

IV Rank measures where the current IV falls relative to its range over the past year:

IV Rank = (Current IV - 52-Week Low IV) / (52-Week High IV - 52-Week Low IV) × 100

• IVR of 0%: Current IV is at its 52-week low
• IVR of 50%: Current IV is at the midpoint of its 52-week range
• IVR of 100%: Current IV is at its 52-week high

IV Rank is useful for identifying relative extremes. An IVR above 50% suggests IV is elevated relative to the past year, making it potentially attractive for premium selling. An IVR below 30% suggests IV is depressed, making it potentially attractive for premium buying.

IV Percentile

IV Percentile measures the percentage of days over the past year that IV was lower than the current level:

• IV Percentile of 90%: IV was lower than the current level on 90% of trading days in the past year — IV is very high relative to history.
• IV Percentile of 10%: IV was lower than the current level on only 10% of trading days — IV is very low.

IV Percentile can give a different reading than IV Rank when IV has had brief extreme spikes. Both metrics are useful, and many traders check both.

Comparison: IV Rank vs IV Percentile

High IV vs Low IV: What to Look For

Characteristics of High IV Stocks

• Upcoming earnings announcement or major event
• Recent news (litigation, FDA decisions, product recalls)
• Sector-wide volatility increase
• Market-wide fear (elevated VIX)
• Options premiums are rich relative to historical norms

Characteristics of Low IV Stocks

• No imminent catalysts or events
• Stock in a low-volatility, trending pattern
• Sector and market are calm
• Options premiums are cheap relative to historical norms
• IV Rank below 20-30%

What Constitutes "High" and "Low" IV?

There is no universal threshold because different stocks have different normal IV levels. A biotech stock might have a "normal" IV of 60%, while a utility stock might have a "normal" IV of 15%. The key is comparing each stock's current IV against its own historical range, not against other stocks.

This is why IV Rank and IV Percentile are more useful than raw IV for screening purposes.

How to Build an Implied Volatility Screener in Excel

Building your own IV screener in Excel gives you full control over the screening criteria and allows you to customize the output for your specific trading strategy.

Step 1: Create a Watchlist

Start with a list of stocks you want to screen. This could be:

• S&P 500 components
• Stocks with weekly options
• Stocks in a specific sector
• Your personal watchlist of liquid, optionable stocks

Enter the ticker symbols in Column A of your spreadsheet.

Step 2: Pull Current Prices

For each ticker, get the current stock price as reference:

=Last("AAPL")
=Last("MSFT")
=Last("TSLA")
=Last("AMZN")

Step 3: Pull the Option Chain with Greeks

For each stock, retrieve the full option chain including implied volatility and all Greeks:

=QM_GetOptionQuotesAndGreeks("AAPL")

This function returns a comprehensive table that includes:

• Strike price and expiration date
• Bid, ask, and last price
• Volume and open interest
• Implied volatility for each contract
• Delta, gamma, theta, vega, and rho

Step 4: Get IV Rank

Use the IV Rank function to get the 1-year IV Rank:

=IVRank1Year("AAPL")
=IVRank1Year("MSFT")
=IVRank1Year("TSLA")

This immediately tells you whether each stock's IV is elevated or depressed relative to its past year.

Step 5: Pull Historical IV Data

For a deeper look at how IV has behaved over time:

=OPT_ImpliedVolatilityHistorical("AAPL")

This gives you historical IV data that you can chart to visualize IV trends and identify cyclical patterns.

Step 6: Sort and Filter

Once your data is populated, use Excel's built-in sorting and filtering to:

• Sort by IV Rank descending to find the highest-IV stocks (premium selling candidates)
• Sort by IV Rank ascending to find the lowest-IV stocks (premium buying candidates)
• Filter by minimum volume to ensure sufficient liquidity
• Filter by expiration date to focus on your preferred time horizon

Step 7: Add Signal Columns

Create calculated columns to flag trading opportunities:

=IF(B2>50, "High IV - Sell Premium", IF(B2<20, "Low IV - Buy Premium", "Neutral"))

MarketXLS Formulas for IV Screening

Here is a complete reference of the MarketXLS formulas most useful for building an implied volatility screener:

Using the Option Scanner

MarketXLS also includes a built-in Option Scanner that allows you to filter options across up to 40 stocks simultaneously. To use it:

1. List your target ticker symbols in Excel
2. Go to the MarketXLS tab → Utilities → Option Scanner
3. Filter by volume, moneyness, expiration, type, and strike price
4. Remove zero-volume contracts
5. Sort by implied volatility to find the highest or lowest IV contracts
6. Export the filtered results to a new Excel worksheet

The Option Scanner provides a GUI-based approach to IV screening that complements the formula-based method described above.

Screening Methods Comparison

The MarketXLS approach (both formula-based and Option Scanner) combines the speed of automated screening with the flexibility of Excel's analysis tools, making it the most practical choice for most options traders.

Strategies for High Implied Volatility Stocks

When your screener identifies stocks with high IV Rank (above 50%), consider these premium-selling strategies:

Covered Calls

If you own the underlying stock, sell covered calls to collect elevated premium. High IV means you receive more premium for the same strike and expiration.

=Last("AAPL")           → Check current price
=OptionSymbol("AAPL", "2026-03-20", "C", 200)  → Build the call symbol
=QM_Last("@AAPL 260320C00200000")               → Check the premium

Cash-Secured Puts

Sell puts on stocks you want to own at a lower price. High IV means you collect more premium, giving you a larger buffer below the current price.

Iron Condors

Sell an OTM put spread and an OTM call spread simultaneously. Iron condors profit from high IV contracting back to normal levels. The premium collected is highest when IV is elevated.

Credit Spreads (Vertical Spreads)

Sell a closer-to-the-money option and buy a farther-out option for protection. The net credit is larger when IV is high, improving your risk/reward ratio.

Short Straddles and Strangles

For advanced traders, selling straddles or strangles on high-IV stocks captures the maximum premium from elevated volatility. These strategies have unlimited risk and require careful management.

Strategies for Low Implied Volatility Stocks

When your screener identifies stocks with low IV Rank (below 20%), consider these premium-buying strategies:

Long Straddles

Buy an ATM call and an ATM put. With IV low, options are cheap, and any significant price move (or IV expansion) can generate profits.

Long Strangles

Buy an OTM call and an OTM put. Cheaper than a straddle, with the tradeoff of needing a larger move to profit.

Calendar Spreads

Buy a longer-dated option and sell a shorter-dated option at the same strike. If IV expands, the longer-dated option gains more from vega than the shorter-dated option.

Debit Spreads

Buy vertical debit spreads when IV is low. The debit paid is smaller when IV is depressed, improving your risk/reward.

LEAPS (Long-Term Options)

Buy long-dated call options (6-12 months out) when IV is at historical lows. These serve as stock substitutes with limited risk and benefit from both delta gains and potential IV expansion.

IV Screening Before Earnings

Earnings announcements are the single most common catalyst for IV changes. A systematic approach to screening IV before earnings can identify the best opportunities:

Pre-Earnings Screen

1. Pull a list of stocks reporting earnings in the next 1-2 weeks
2. Screen each stock's IV Rank using =IVRank1Year("ticker")
3. If IV Rank is still below 50%, IV may still rise into earnings — potential for long vega trades
4. If IV Rank is already above 80%, the IV expansion may already be priced in — selling premium may be more appropriate

Post-Earnings Screen

1. After earnings, screen for stocks where IV has crushed but remains elevated
2. If IV Rank is still above 40% post-earnings, further IV contraction may continue — short premium trades may still work
3. If IV has already contracted to IV Rank below 20%, the IV crush is complete

Earnings IV Comparison Table

Common IV Screening Mistakes

Mistake 1: Screening by Raw IV Alone

A stock with 40% IV is not necessarily "high IV" if its normal IV is 60%. Always use IV Rank or IV Percentile to put the current IV in historical context.

Mistake 2: Ignoring Liquidity

High IV on illiquid options is a trap. Wide bid-ask spreads on low-volume options can erase the theoretical edge from selling elevated IV. Always filter for minimum volume and open interest.

Mistake 3: Not Accounting for Events

High IV is often high for a reason — an earnings report, FDA decision, or legal ruling is approaching. Selling premium into a known catalyst without understanding the potential magnitude of the move is dangerous.

Mistake 4: Over-Screening

Running your screener once and building 20 positions at once creates excessive portfolio risk. Screen daily but only act on the best 2-3 opportunities that meet your specific criteria.

Mistake 5: Ignoring Correlation

If you sell premium on five high-IV tech stocks simultaneously, you do not have five independent trades. You have a concentrated short-volatility bet on the tech sector. Diversify across sectors when building positions from screener results.

Advanced IV Screening Techniques

IV Skew Analysis

Compare the IV of OTM puts versus ATM options. A steep skew (OTM puts much more expensive) can indicate institutional hedging demand and potential downside risk.

Use =QM_GetOptionQuotesAndGreeks("AAPL") to pull IV across all strikes and calculate the skew ratio:

Skew = IV of 25-delta put / IV of ATM option

A skew above 1.2 suggests elevated demand for downside protection.

IV Term Structure Analysis

Compare IV across expirations to identify term structure anomalies:

=QM_GetOptionChain("AAPL")

If near-term IV is much higher than longer-term IV (inverted term structure), it often signals an imminent event. Calendar spreads can exploit this by selling the expensive near-term options and buying the cheaper longer-term options.

Multi-Stock IV Correlation Screening

Screen for pairs of stocks where one has high IV and the other has low IV in the same sector. This can identify relative value opportunities for pairs volatility trades.

Historical IV Seasonal Patterns

Some stocks show predictable IV patterns tied to seasonal business cycles, earnings timing, or sector rotation. Track historical IV using =OPT_ImpliedVolatilityHistorical("ticker") over multiple years to identify these patterns.

Frequently Asked Questions

What is an Implied Volatility Screener?

An Implied Volatility Screener is a tool that scans options across multiple stocks and filters them by their implied volatility levels. It helps traders quickly identify options with the highest or lowest IV, enabling them to find the best candidates for premium selling strategies (high IV) or premium buying strategies (low IV). MarketXLS provides both formula-based screening using functions like =IVRank1Year() and =QM_GetOptionQuotesAndGreeks(), as well as a built-in Option Scanner with GUI-based filtering.

What is a good implied volatility to look for?

There is no universal "good" implied volatility because each stock has a different normal IV range. Instead of looking for a specific IV percentage, focus on IV Rank or IV Percentile. An IV Rank above 50% indicates that current IV is elevated relative to the past year, making it potentially attractive for selling strategies. An IV Rank below 20% indicates depressed IV, potentially attractive for buying strategies.

How do you screen for high IV options?

To screen for high IV options with MarketXLS: (1) Create a watchlist of ticker symbols, (2) Use =IVRank1Year("ticker") to get each stock's IV Rank, (3) Sort by IV Rank descending to find the highest-IV stocks, (4) Use =QM_GetOptionQuotesAndGreeks("ticker") to view individual contract IVs, (5) Filter for sufficient volume and open interest, and (6) Identify the specific contracts that match your strategy.

What causes implied volatility to spike?

Implied volatility spikes are caused by events that increase uncertainty about future price movements. The most common causes are upcoming earnings announcements, unexpected news (lawsuits, FDA decisions, management changes), market-wide fear events (geopolitical crises, rate hikes), and heavy demand for options (particularly puts for hedging). IV tends to spike before events and contract after the uncertainty resolves.

Should I buy options when IV is high or low?

Generally, you should buy options when IV is low (cheap premiums) and sell options when IV is high (rich premiums). This is because implied volatility tends to mean-revert — it returns to its historical average over time. Buying high-IV options means paying inflated prices that are likely to decrease, creating a headwind for your position. However, if you have a strong directional view and the event driving high IV could produce a move larger than what is priced in, buying high-IV options can still be profitable.

How often should I run my IV screener?

Most traders run their IV screener daily, either at the start of the trading session or after the close. Running the screener daily ensures you catch IV changes promptly and do not miss short-lived opportunities. During earnings season, running the screener more frequently (or filtering specifically for stocks reporting that week) can be especially productive.

Conclusion

An Implied Volatility Screener is one of the most valuable tools in an options trader's arsenal. By systematically identifying stocks and options with elevated or depressed IV levels, you can tilt the odds in your favor — selling rich premium when IV is high and buying cheap options when IV is low.

The key principles to remember:

• Use IV Rank and IV Percentile rather than raw IV to determine whether a stock's IV is truly high or low
• Combine IV screening with liquidity filters to avoid illiquid traps
• Understand why IV is elevated before selling premium — know your catalysts
• Diversify across sectors when building positions from screener results
• Use MarketXLS formulas like =IVRank1Year(), =QM_GetOptionQuotesAndGreeks(), and =QM_GetOptionChain() to build a fully customized IV screening system in Excel

Whether you are a premium seller looking for the richest options to sell, a premium buyer searching for cheap options before catalysts, or a volatility trader exploiting mean reversion, a well-constructed IV screener is the foundation of your trading process.

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Disclaimer

None of the content published on marketxls.com constitutes a recommendation that any particular security, portfolio of securities, transaction, or investment strategy is suitable for any specific person. The author is not offering any professional advice of any kind. The reader should consult a professional financial advisor to determine their suitability for any strategies discussed herein.