Ex-Earnings Implied Volatility 30 Day
Returns the 30-day implied volatility with the earnings event premium removed. This is one of the most commonly used ex-earnings IV metrics, as it corresponds to monthly options cycles.
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
- Most popular ex-earnings IV metric due to monthly options cycles
- Useful for VIX-like comparisons (VIX is based on 30-day options)
- Helps identify if elevated IV is due to earnings or market conditions
Examples
=ExEarningsImpliedVolatility30d("AAPL")=ExEarningsImpliedVolatility30d("TSLA")=ExEarningsImpliedVolatility30d("NVDA")=ExEarningsImpliedVolatility30d("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 analysis aligned with VIX methodology
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 is 30-day ex-earnings IV so commonly used? A: 30-day IV aligns with monthly options cycles and the VIX index methodology, making it a standard benchmark for volatility analysis.
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