MarketXLS

Ex-Earnings Implied Volatility 60 Day

Returns the 60-day implied volatility with the earnings event premium removed. This metric is useful for medium-term options strategies where you want to isolate base volatility expectations.

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

  • Covers approximately 2 months of trading
  • May span one or more earnings cycles
  • Useful for bi-monthly options strategies

Syntax

=ExEarningsImpliedVolatility60d(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

60-day implied volatility excluding earnings premium as a decimal

Examples

=ExEarningsImpliedVolatility60d("AAPL")
Current ex-earnings 60d IV
=ExEarningsImpliedVolatility60d("TSLA")
Tesla ex-earnings 60d IV
=ExEarningsImpliedVolatility60d("NVDA")
NVIDIA ex-earnings 60d IV
=ExEarningsImpliedVolatility60d("AAPL", DATE(2024,6,15))
Historical ex-earnings IV
=ExEarningsImpliedVolatility60d(A1)
Symbol from cell reference

When to Use

  • Analyzing base volatility without earnings noise
  • Medium-term options strategy planning
  • Comparing volatility levels across earnings cycles
  • Identifying if elevated IV is due to earnings or other factors
  • Volatility term structure analysis

When NOT to Use

Scenario Use Instead
Need total IV including earnings ImpliedVolatility60d()
Need 30-day ex-earnings IV ExEarningsImpliedVolatility30d()
Need 90-day ex-earnings IV ExEarningsImpliedVolatility90d()
Need 6-month ex-earnings IV ExEarningsImpliedVolatility6m()
Need 1-year ex-earnings IV ExEarningsImpliedVolatility1y()

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 might 60-day have multiple earnings events?

For quarterly reporters, 60 days may include one earnings event. The ex-earnings calculation removes the premium from all expected earnings within the window.

Related Formulas

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

See ExEarningsImpliedVolatility60d used in a complete workbook: MarketXLS New Release 9.3.4.7

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MarketXLS Excel Add-in Tutorial - How to Use Ex-Earnings Implied Volatility 60 Day and Other Financial Formulas
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