Historical Implied Volatility (Options)
Returns the implied volatility (IV) for an option contract on a specific historical date. IV represents the market's expectation of future volatility derived from the option's price.
Parameters
| Parameter | Required | Description |
|---|---|---|
| Symbol | Yes | Option symbol (OCC format) |
| OnDate | Yes | Historical date (DATE function or string) |
Input Requirements
Use OptionSymbol() to generate the option symbol:
| Parameter | Source | Example |
|---|---|---|
| Symbol | OptionSymbol() output |
OptionSymbol("AAPL",DATE(2026,3,15),"Call",170) |
Understanding IV
| IV Level | Interpretation |
|---|---|
| < 0.20 (20%) | Low volatility environment |
| 0.20 - 0.40 | Normal/moderate volatility |
| 0.40 - 0.60 | Elevated volatility |
| > 0.60 (60%) | High volatility, often around events |
Notes
- IV is expressed as a decimal (0.35 = 35%)
- Higher IV means more expensive options
- IV tends to spike before earnings and major events
- Compare to historical IV to assess if options are cheap or expensive
Examples
Using OptionSymbol() - RECOMMENDED
=opt_ImpliedVolatilityHistorical(OptionSymbol("AAPL",DATE(2026,3,15),"Call",170),DATE(2025,12,15))Using raw OCC symbol
=opt_ImpliedVolatilityHistorical("AAPL240315C00170000", DATE(2025,12,15))Convert to percentage
=opt_ImpliedVolatilityHistorical("AAPL240315C00170000", DATE(2025,12,15)) * 100 & "%"Using cell references
=opt_ImpliedVolatilityHistorical(A1, B1)Compare IV over time
=opt_ImpliedVolatilityHistorical("AAPL240315C00170000", DATE(2025,12,15)) - opt_ImpliedVolatilityHistorical("AAPL240315C00170000", DATE(2025,11,15))When to Use
- Analyze historical volatility levels
- Study IV changes around events (earnings, Fed)
- Backtest volatility trading strategies
- Compare current IV to historical levels
- Build IV time series for analysis
When NOT to Use
Common Issues & FAQ
Q: What does an IV of 0.35 mean? A: It means the market expects the stock to move about 35% on an annualized basis, or roughly 35%/sqrt(252) = ~2.2% per day.
Q: Why is IV different for different strikes? A: This is called the "volatility smile" or "skew". Out-of-the-money options often have higher IV, especially puts (skew).
Q: How do I know if IV is high or low?
A: Compare to historical IV using IV Rank or IV Percentile functions like ImpliedVolatilityRank1y().
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