Retrieve 60-Day Ex-Earnings Implied Volatility for Stocks

The ExEarningsImpliedVolatility60d function from MarketXLS is purpose-built to help you quickly fetch the 60-day implied volatility metric for a given stock around its earnings period. This value can be instrumental for options traders, volatility analysts, or any user looking to gauge market expectations of price movements near earnings. Using this function directly in Excel saves you time, eases the research process, and helps you make more informed trading and investment decisions.

Why Use This Function?

• Simplified Analysis: Pull volatility data directly into Excel without juggling multiple platforms.
• Earnings-Focused Perspective: Specifically designed to show volatility before or around a company's earnings report.
• Support for Date-Based Queries: Optionally provide a StartDate to see how implied volatility looked on that date.
• Enhanced Decision-Making: Understand how the market is pricing risk near earnings—vital for options strategies.
• Integrates Seamlessly: Fits into existing workflows with other MarketXLS functions and Excel formulas.

How to Use in Excel

Use the following syntax in your Excel worksheet:

=ExEarningsImpliedVolatility60d(Symbol, [Optional StartDate])

• "Symbol" is the stock ticker you want to analyze (for example, "AAPL").
• "StartDate" (optional) is a date to look up the implied volatility for that specific trading day. If omitted or invalid, the function fetches the latest available data.

Simply type the function in any cell, supply the required symbol, and optionally add a date. Press Enter, and MarketXLS retrieves the 60-day ex-earnings implied volatility for that stock.

Parameters Explained

• Symbol is a required text input.
• StartDate is optional; if you omit this parameter, the function automatically returns the latest data.
• If StartDate is provided but is out of range (before 1978) or data is not available for that date, you may receive "NA".

Example Usage

Basic Examples

1. Retrieve the latest 60-day ex-earnings implied volatility for Microsoft (MSFT):
   =ExEarningsImpliedVolatility60d("MSFT")
   ? Returns the most recent 60-day implied volatility estimate around MSFT’s next or most recent earnings.

2. Retrieve for Apple (AAPL), ignoring the optional date parameter:
   =ExEarningsImpliedVolatility60d("AAPL")
   ? Fetches current or latest data for AAPL.

Examples with a Specific Date

1. Retrieve the volatility for Tesla (TSLA) on September 1, 2023:
   =ExEarningsImpliedVolatility60d("TSLA", "09/01/2023")
   ? If data is available for that date, it returns the 60-day ex-earnings implied volatility as of 2023-09-01.

2. Retrieve the volatility for Apple (AAPL) on an older date:
   =ExEarningsImpliedVolatility60d("AAPL", "06/15/2022")
   ? Returns the stored 60-day implied volatility around earnings for that specific day if available.

Advanced Scenarios

• Integrate with Other Functions: Combine with Excel’s built-in or MarketXLS formulas to track how implied volatility moves over several earnings periods. For instance, you can:

• Automate watchlists that trigger alerts if volatility exceeds a certain threshold.
• Compare 60-day implied volatility before and after earnings for pattern recognition in your strategies.

• Strategy Development: If your trading approach involves selling options premium when volatility is high, you could use “ExEarningsImpliedVolatility60d” in tandem with “ExEarningsImpliedVolatility30d” or other MarketXLS metrics to paint a more comprehensive picture of implied volatility fluctuations around earnings.

Common Questions and Troubleshooting

1. Why am I getting “NA”?

   • Invalid Ticker: Ensure the symbol is correct (e.g., "GOOGL" vs. "GOOG").
   • Data Not Available: Some dates might be outside data coverage (before 1978) or the stock may not have relevant volatility data.
   • License or Network Issues: Check your MarketXLS subscription status or ensure you have an internet connection.

2. Why does the function sometimes return “Refreshing”?

   • MarketXLS periodically refreshes its cache. If the data request is added to the refresh queue, the function may temporarily return “Refreshing” until the update completes. Simply wait and retry.

3. Does the function require a date parameter?

   • No. If omitted, the function uses the most recent implied volatility data for the specified ticker.

4. Can I reference cells for inputs?

   • Absolutely. For example: =ExEarningsImpliedVolatility60d(A2, B2), where A2 holds the ticker and B2 holds the date.

By leveraging the ExEarningsImpliedVolatility60d function in Excel, you can streamline your analysis of 60-day implied volatility around earnings releases. With its optional date parameter, built-in caching, and direct integration into MarketXLS, it’s easy to stay ahead of evolving volatility conditions and react more efficiently in your investing or trading workflows.