Analyze 30-Day Ex-Earnings Implied Volatility with Ease

The ExEarningsImpliedVolatility30d function in MarketXLS helps you retrieve the 30-day implied volatility (IV) specific to post-earnings periods, directly in Excel. With this function, you can effortlessly monitor how the market prices implied volatility following an earnings event. By tapping into this data, you can make better strategic decisions in your options trading or broader equity analysis.

Why Use This Function?

• Track Post-Earnings Volatility: Focus on implied volatility specifically after an earnings announcement for clearer insight into the market sentiment.
• Simplify Options Strategies: Use the data as an input into your pricing models or volatility-based strategies.
• Easy Integration in Excel: No special scripts or additional software needed; just the MarketXLS Add-in.
• Support for Historical Dates: Specify a date to see volatility on that exact trading day.
• Automated Error Handling: Returns “NA” if invalid dates, symbols, or license permissions arise, helping you spot issues quickly.

How to Use in Excel

=ExEarningsImpliedVolatility30d(Symbol, [Optional StartDate])

1. Type the function into a cell.
2. Enter the stock ticker (Symbol) as a string, for example "AAPL".
3. Optionally specify a StartDate to retrieve the 30-day ex-earnings implied volatility for a particular past date.
4. Press Enter to see the result returned in the cell.

• If StartDate is not provided or is before the year 1978, the function automatically retrieves the most recently available 30-day post-earnings implied volatility.
• If the function is still retrieving data, a “Refreshing” message may appear temporarily.

Parameters Explained

Example Usage

Basic Examples

1. Retrieve the Latest 30-Day IV for Apple:

   =ExEarningsImpliedVolatility30d("AAPL")

   This returns Apple’s most recently available post-earnings implied volatility for a 30-day period.

2. Retrieve Historical 30-Day IV for Microsoft on a Specific Date:

   =ExEarningsImpliedVolatility30d("MSFT", "01/15/2023")

   This fetches Microsoft’s 30-day ex-earnings IV from January 15, 2023, letting you analyze historical market conditions.

Advanced Scenarios

• Combine with Other MarketXLS Functions:

• For instance, use =ExEarningsImpliedVolatility30d("TSLA") with an option pricing function to spot potential mispricings in the options chain.

• Trading Strategy Insights:

• Compare ex-earnings implied volatility against typical pre-earnings volatility to gauge how an earnings announcement might shift market sentiment over time.

• Integrating Historical Data:

• Enter different dates to track how volatility has changed after various earnings releases.

Common Questions and Troubleshooting

1. Why am I getting “NA”?

   • You may have entered an invalid ticker symbol, the data might be unavailable, or your license may not be valid. Check your inputs or renewal status.

2. Why am I getting “Refreshing”?

   • The data is being loaded or updated on the server side. Wait a few moments and then recalculate the cell.

3. What if I pass a date beyond the available historical data?

   • The function attempts to fetch the value for that date. If no data is found, it typically returns “NA”.

4. Can I pass a date older than 1978?

   • The function defaults back to the latest data if you specify a year before 1978.

5. What type of result does the function return?

   • A numeric value in string format (e.g., “0.35”), representing IV as a decimal. If unavailable, returns “NA”.

Make the most of MarketXLS’s direct integration with Excel to quickly add volatility insights to your trading toolkit. By using ExEarningsImpliedVolatility30d, you can seamlessly track post-earnings implied volatility shifts and stay ahead in your options or equities analysis.