MarketXLS

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

Syntax

=opt_ImpliedVolatilityHistorical(Symbol, OnDate)
Excel Desktop (Windows)

Parameters

symbolstringRequired
onDatedateRequired

Returns

number

Historical implied volatility (as decimal, e.g., 0.35 = 35%)

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

Scenario Use Instead
Need current IV opt_ImpliedVolatility()
Need IV rank ImpliedVolatilityRank1y()
Need IV percentile ImpliedVolatilityPct1y()
Need historical realized vol StockVolatilityCustomDates()

Common Issues & FAQ

What does an IV of 0.35 mean?

It means the market expects the stock to move about 35% on an annualized basis, or roughly 35%/sqrt(252) = ~2.2% per day.

Why is IV different for different strikes?

This is called the "volatility smile" or "skew". Out-of-the-money options often have higher IV, especially puts (skew).

How do I know if IV is high or low?

Compare to historical IV using IV Rank or IV Percentile functions like ImpliedVolatilityRank1y().

Excel Templates Using Historical IV (Options)

These ready-made MarketXLS templates call opt_ImpliedVolatilityHistorical() in their worksheet formulas. Open one to see the function working inside a complete model.

Related Formulas

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

See opt_ImpliedVolatilityHistorical used in a complete workbook: SPX Options Historical Data: Complete Guide to In-Depth Analysis and Trends

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MarketXLS Excel Add-in Tutorial - How to Use Historical IV (Options) and Other Financial Formulas
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