Calculate 10-Day Implied Volatility with ImpliedVolatility10d
The ImpliedVolatility10d function in MarketXLS helps Excel users quickly retrieve the 10-day implied volatility of a security. With this single formula, you can gauge the market’s expectation of price fluctuations, providing valuable insights for options trading strategies and risk management. By optionally specifying a date, you have precise control over the exact day you need the data for.
Why Use This Function?
- Provides a 10-day implied volatility figure, a critical metric for options pricing and market sentiment.
- Offers easy retrieval by simply entering a symbol (and optionally a date).
- Ideal for fast analysis in Excel-based trading models and portfolio tracking.
- Useful when historical context is needed by specifying a date—helpful for backtesting or comparing volatility on specific days.
- Automatically handles caching and eliminates multiple data calls, streamlining performance.
- Integrates seamlessly within existing Excel workflows for more comprehensive market analysis.
How to Use in Excel
=ImpliedVolatility10d(Symbol, [StartDate])
- Enter the symbol (e.g., "AAPL") as a valid string.
- Optionally provide a StartDate (Excel date) to retrieve implied volatility for that specific day.
- If you leave out the date or the date is invalid (e.g., year before 1978), MarketXLS will fetch the most recent recorded data.
- Press Enter to see the implied volatility or “NA” if data is unavailable.
Parameters Explained
Parameter | Description | Example Values | Notes |
---|---|---|---|
Symbol | Ticker symbol of the security you want implied volatility for. | "AAPL", "MSFT" | Must be a valid, recognized ticker. Returns "NA" if invalid or data is unavailable. |
StartDate | (Optional) Specific date for which you want the 10-day implied volatility. | "1/15/2023" | If omitted or if year < 1978, retrieves the latest known implied volatility. If data isn’t found, returns "NA". |
Example Usage
Basic Examples
-
Retrieve the current 10-day implied volatility for Apple:
=ImpliedVolatility10d("AAPL")
? Returns a numeric value representing Apple’s latest 10-day IV or "NA" if unavailable. -
Get the 10-day implied volatility for Microsoft on January 15, 2023 (assuming data is available):
=ImpliedVolatility10d("MSFT", "1/15/2023")
? Returns the IV for that specific date or "NA" if no record exists for that day. -
In a trading strategy template, reference cell A2 for a ticker and B2 for a date:
=ImpliedVolatility10d(A2, B2)
? Dynamically updates if you change the ticker or date.
Advanced Scenarios
- Use ImpliedVolatility10d in conjunction with other Excel functions (e.g., VLOOKUP, IF) to compare multiple tickers on different dates in a single sheet.
- Automate portfolio analysis by referencing a table of symbols and date ranges, then chart daily implied volatility for your top holdings.
- Combine with options pricing formulas to estimate fair values based on the retrieved implied volatility, creating automated alerts when certain thresholds are crossed.
Common Questions and Troubleshooting
-
Why do I sometimes get “NA”?
- This occurs if the symbol is invalid, no data is available for the date, or if there’s a network/license issue.
-
The function returns “Refreshing” instead of a numeric value—what does this mean?
- MarketXLS is updating cached data. Once the update completes, you can recalculate the cell to see the final value.
-
What if I only get “NA” even for a valid symbol?
- Double-check the date formatting in Excel. If the function still returns “NA”, it may mean there is no implied volatility data available for that symbol or date.
-
Does the StartDate need a certain format?
- Excel will typically handle date formats automatically, but ensure you are providing a valid date in an Excel-recognized format.
Remember:
- ImpliedVolatility10d is best suited for US markets data.
- The date parameter is optional—leave it out or set it to a date from 1978 onward for historical or specific-day analysis.
- This function seamlessly ties into MarketXLS caching and licensing checks, ensuring efficient and authorized data retrieval.
Use ImpliedVolatility10d to quickly assess the near-term volatility landscape, refine your options trading strategies, and maintain a dynamic watchlist of potential market movers—all from the convenience of Excel.