Analyze 20-Day Implied Volatility After Earnings in Excel

The ExEarningsImpliedVolatility20d function in MarketXLS retrieves a symbol’s recent 20-day implied volatility value tied to its earnings period. With this function, options traders and equity analysts can quickly reference metrics that may reflect market uncertainty or momentum following earnings announcements—all from the convenience of Excel.

Why Use This Function?

• Gain insight into how the market views a stock’s near-term volatility after earnings.
• Compare implied volatility levels across multiple stocks effortlessly.
• Examine changes in implied volatility over time by specifying different dates (for historical analysis).
• Integrate this data into wider trading models or spreadsheets for a comprehensive analysis.
• Validate your options strategies by gauging post-earnings market expectations.

How to Use in Excel

ExEarningsImpliedVolatility20d(Symbol, [StartDate])

1. In any Excel cell, begin typing “=ExEarningsImpliedVolatility20d”.
2. Provide the ticker symbol (e.g., "AAPL") as the primary argument.
3. Optionally include a StartDate (in a valid date format) to fetch the implied volatility data for a specific date.
   • If no StartDate is specified or if the date is before 1978, the function defaults to the latest available data.
4. Press Enter, and MarketXLS will retrieve the metric directly into your spreadsheet.

Parameters Explained

Example Usage

Basic Examples

1. Retrieve the current 20-day implied volatility data after earnings for Apple:
   =ExEarningsImpliedVolatility20d("AAPL")

2. Fetch the value for Microsoft without providing a date (automatically uses the most recent data):
   =ExEarningsImpliedVolatility20d("MSFT")

3. Request the 20-day implied volatility for Tesla as of September 1, 2023:
   =ExEarningsImpliedVolatility20d("TSLA", "09/01/2023")

In your Excel worksheet, simply enter these formulas in separate cells (e.g., B2, B3, B4), press Enter, and the function will populate the implied volatility data.

Advanced Scenarios

• Tracking Implied Volatility Over Specific Dates
If you maintain a column of historical dates in one column (e.g., C2:C12) and the symbol in another cell (e.g., A2), you can reference those cells dynamically:
=ExEarningsImpliedVolatility20d($A$2, C2)
Then drag the formula down to create a timeline of implied volatility data for each date.

• Integrating with Other Excel Functions
You might average multiple implied volatility values:
=AVERAGE(ExEarningsImpliedVolatility20d("AAPL", "09/01/2023"), ExEarningsImpliedVolatility20d("AAPL", "09/02/2023"))
This helps you create a custom metric or compare volatility across multiple points in time.

• Building an Options Trading Strategy
By pulling implied volatilities for various symbols and date ranges, you can set up an Excel-based model that automatically recalculates potential option pricing scenarios once new post-earnings data updates.

Common Questions and Troubleshooting

1. Why am I seeing “NA”?
   • The ticker symbol may be invalid, or there may be no data available for that date. Double-check the symbol or omit the StartDate to default to the latest data.
   • Your MarketXLS license could be invalid. Please ensure your license is active.

2. Why am I seeing “Refreshing”?
   • MarketXLS is updating or refreshing cached data in the background. The function will return valid data once the refresh is complete.

3. How do I ensure data accuracy for historical dates?
   • Verify you have typed the date correctly and in a consistent format (e.g., “MM/DD/YYYY”).
   • If data for the specified date is unavailable, the function may return "NA" or default to another available value.

4. What if my date is before 1978?
   • The function ignores it and fetches the latest data available. Provide a valid date after 1978 if you need historical checking.

By incorporating ExEarningsImpliedVolatility20d into your Excel workflow, you streamline the process of retrieving and monitoring post-earnings implied volatility. Whether you’re quickly scanning multiple stocks or diving deep into a single ticker’s historical vol data, this function provides an immediate and actionable snapshot—perfect for options research, market comparisons, and refining trading strategies.