MarketXLS

Ex-Earnings Implied Volatility 20 Day

Returns the 20-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
  • 20-day period covers approximately one trading month

Syntax

=ExEarningsImpliedVolatility20d(Symbol, [StartDate])
Excel Desktop (Windows)

Parameters

symbolstringRequired

Stock ticker symbol

startDatedate

Historical date for IV lookup (YYYY-MM-DD format or Excel DATE())

Returns

number

20-day implied volatility excluding earnings premium as a decimal

Examples

=ExEarningsImpliedVolatility20d("AAPL")
Current ex-earnings 20d IV
=ExEarningsImpliedVolatility20d("TSLA")
Tesla ex-earnings 20d IV
=ExEarningsImpliedVolatility20d("NVDA")
NVIDIA ex-earnings 20d IV
=ExEarningsImpliedVolatility20d("AAPL", DATE(2024,6,15))
Historical ex-earnings IV
=ExEarningsImpliedVolatility20d(A1)
Symbol from cell reference

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

Scenario Use Instead
Need total IV including earnings ImpliedVolatility20d()
Need 10-day ex-earnings IV ExEarningsImpliedVolatility10d()
Need 30-day ex-earnings IV ExEarningsImpliedVolatility30d()
Need longer-term ex-earnings IV ExEarningsImpliedVolatility60d(), ExEarningsImpliedVolatility90d()

Common Issues & FAQ

What is earnings premium?

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.

How do I calculate the earnings premium?

Subtract ex-earnings IV from total IV:

Why am I getting similar values for both?

If no earnings are expected in the next 20 days, the two values will be nearly identical since there's no earnings premium to remove.

Related Formulas

More MarketXLS Options formulas you can use in the same worksheet:

See ExEarningsImpliedVolatility20d used in a complete workbook: MarketXLS New Release 9.3.4.7

Get Access to 1 Billion Usable Market data points IN YOUR EXCEL SHEETS WITH EASY TO USE EXCEL FUNCTIONS

Get started today
MarketXLS Excel Add-in Tutorial - How to Use Ex-Earnings Implied Volatility 20 Day and Other Financial Formulas
▶
How does MarketXLS work?

Related Functions