Ex-Earnings Implied Volatility 1 Year
Returns the 1-year (12-month) implied volatility with the earnings event premium removed. This metric is essential for LEAPS analysis and long-term options strategies.
Why Ex-Earnings IV?
Options prices include extra premium when earnings announcements fall 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 long-term investment strategies
Parameters
| Parameter | Required | Description |
|---|---|---|
| Symbol | Yes | Stock ticker symbol (e.g., AAPL, TSLA) |
| StartDate | No | Historical date for IV lookup |
Notes
- Covers approximately four quarters of trading
- Typically includes 4 earnings events for quarterly reporters
- Essential for LEAPS pricing and long-term hedging strategies
Examples
=ExEarningsImpliedVolatility1y("AAPL")=ExEarningsImpliedVolatility1y("TSLA")=ExEarningsImpliedVolatility1y("NVDA")=ExEarningsImpliedVolatility1y("AAPL", DATE(2024,6,15))When to Use
- Analyzing LEAPS volatility expectations without earnings noise
- Planning long-term options and hedging strategies
- Comparing annual volatility levels across multiple earnings cycles
- Identifying if elevated IV is due to earnings or secular trends
- Long-term 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 annual earnings premium? A: Subtract ex-earnings IV from total IV:
Q: How many earnings events are typically in 1 year? A: For quarterly reporters, typically four earnings events. The ex-earnings calculation removes all expected earnings premiums within the window.
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