Ex-Earnings Implied Volatility 10 Day
Returns the 10-day implied volatility with the earnings event premium removed. This metric isolates the base volatility expectation from the additional premium that options carry when earnings announcements are imminent.
Why Ex-Earnings IV?
Options prices include extra premium when an earnings announcement falls within the option's expiration window. This function removes that premium to show:
- The "true" underlying volatility expectation
- Better comparison across time periods (with and without earnings)
- More accurate volatility for non-earnings related strategies
Parameters
| Parameter | Required | Description |
|---|---|---|
| Symbol | Yes | Stock ticker symbol (e.g., AAPL, TSLA) |
| StartDate | No | Historical date for IV lookup |
Notes
- Useful for comparing IV levels across different periods
- Helps identify if elevated IV is due to earnings or other factors
- Difference between regular IV and ex-earnings IV shows earnings premium
Examples
=ExEarningsImpliedVolatility10d("AAPL")=ExEarningsImpliedVolatility10d("TSLA")=ExEarningsImpliedVolatility10d("NVDA")=ExEarningsImpliedVolatility10d("AAPL", DATE(2024,6,15))When to Use
- Analyzing base volatility without earnings noise
- Comparing volatility levels across earnings cycles
- Identifying if IV is elevated due to earnings or other factors
- Setting up non-earnings related volatility trades
- Volatility term structure analysis
When NOT to Use
Common Issues & FAQ
Q: What is earnings premium? A: Earnings premium is the extra implied volatility priced into options when an earnings announcement is expected before expiration. Stocks can move significantly on earnings, so options reflecting this risk trade at higher IV.
Q: How do I calculate the earnings premium? A: Subtract ex-earnings IV from total IV:
Q: Why am I getting similar values for both? A: If no earnings are expected in the next 10 days, the two values will be nearly identical since there's no earnings premium to remove.
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