MarketXLS

Ex-Earnings Implied Volatility 90 Day

Returns the 90-day (3-month) implied volatility with the earnings event premium removed. This metric aligns with quarterly options cycles and is useful for medium to long-term strategies.

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 one quarter of trading
  • Typically includes at least one earnings event for quarterly reporters
  • Aligns well with quarterly options cycles

Syntax

=ExEarningsImpliedVolatility90d(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

90-day implied volatility excluding earnings premium as a decimal

Examples

=ExEarningsImpliedVolatility90d("AAPL")
Current ex-earnings 90d IV
=ExEarningsImpliedVolatility90d("TSLA")
Tesla ex-earnings 90d IV
=ExEarningsImpliedVolatility90d("NVDA")
NVIDIA ex-earnings 90d IV
=ExEarningsImpliedVolatility90d("AAPL", DATE(2024,6,15))
Historical ex-earnings IV
=ExEarningsImpliedVolatility90d(A1)
Symbol from cell reference

When to Use

  • Analyzing quarterly volatility expectations without earnings noise
  • Planning quarterly options strategies
  • Comparing volatility levels across earnings cycles
  • Identifying if elevated IV is due to earnings or macro factors
  • Volatility term structure analysis

When NOT to Use

Scenario Use Instead
Need total IV including earnings ImpliedVolatility90d()
Need 60-day ex-earnings IV ExEarningsImpliedVolatility60d()
Need 6-month ex-earnings IV ExEarningsImpliedVolatility6m()
Need 1-year ex-earnings IV ExEarningsImpliedVolatility1y()
Need 30-day ex-earnings IV ExEarningsImpliedVolatility30d()

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:

How many earnings events are typically in 90 days?

For quarterly reporters, typically one earnings event. The ex-earnings calculation removes all expected earnings premiums within the window.

Related Formulas

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

See ExEarningsImpliedVolatility90d 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 90 Day and Other Financial Formulas
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