MarketXLS has evolved, with your feedback, into a cross-platform investment research tool. We received many requests to include the implied volatility functions in MarketXLS since users had to access a third- service for a single data point. With that thought in mind, we decided to include the Implied volatility functions within Marketxls so we can be the one-stop solution for your options trading analysis.
Read more on how implied volatility is calculated with earnings effect here.
Below is a complete list of new functions that we have 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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