Ex-Earnings Implied Volatility 6 Month
Returns the 6-month implied volatility with the earnings event premium removed. This metric is useful for long-term options strategies and LEAPS where you want to isolate base volatility expectations.
Why Ex-Earnings IV?
Options prices include extra premium when earnings announcements fall 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 two quarters of trading
- Typically includes 2 earnings events for quarterly reporters
- Useful for semi-annual options strategies and LEAPS analysis
Examples
=ExEarningsImpliedVolatility6m("AAPL")=ExEarningsImpliedVolatility6m("TSLA")=ExEarningsImpliedVolatility6m("NVDA")=ExEarningsImpliedVolatility6m("AAPL", DATE(2024,6,15))When to Use
- Analyzing long-term volatility expectations without earnings noise
- Planning LEAPS and long-dated options strategies
- Comparing volatility levels across multiple earnings cycles
- Identifying if elevated IV is due to earnings or secular trends
- Volatility term structure analysis
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: How many earnings events are typically in 6 months? A: For quarterly reporters, typically two earnings events. The ex-earnings calculation removes all expected earnings premiums within the window.
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