MarketXLS

Implied Volatility Percentile (1 Month)

Returns the implied volatility percentile over a 1-month lookback period. IV Percentile shows what percentage of days had a lower IV than the current level.

Calculation

IV Percentile = (Days with IV < Current IV) / Total Days * 100

IV Percentile vs IV Rank

Metric What it Measures
IV Percentile % of days with lower IV
IV Rank Position within IV range

Interpretation

IV Percentile Meaning
0-25% IV lower than most recent days
25-50% Below average IV
50-75% Above average IV
75-100% IV higher than most recent days

Parameters

Parameter Type Required Description
Symbol string Yes Stock ticker symbol
StartDate date No Historical date (defaults to current)

Syntax

=ImpliedVolatilityPct1m(Symbol, [StartDate])
Excel Desktop (Windows)

Parameters

symbolstringRequired

Stock ticker symbol

startDatedate

Historical date to retrieve IV percentile for (optional, defaults to current)

Returns

number

IV Percentile as a percentage (0-100)

Examples

=ImpliedVolatilityPct1m("AAPL")
Current 1m IV percentile for Apple
=ImpliedVolatilityPct1m("TSLA")
Tesla 1m IV percentile
=ImpliedVolatilityPct1m("SPY")
SPY 1m IV percentile
=ImpliedVolatilityPct1m("AAPL",DATE(2024,1,15))
Historical IV percentile
=ImpliedVolatilityPct1m(A1)
Symbol from cell

When to Use

  • Understanding IV relative to recent history
  • Options strategy selection
  • Screening for volatility opportunities
  • Short-term volatility analysis

When NOT to Use

Scenario Use Instead
Need IV rank ImpliedVolatilityRank1m()
Need longer-term perspective ImpliedVolatilityPct1y()
Need raw IV value ImpliedVolatility()
Need specific IV period ImpliedVolatility10d(), etc.

Common Issues & FAQ

What's the difference between IV Percentile and IV Rank?

  • IV Percentile (this): Percentage of days with lower IV
  • IV Rank: Where IV is within its high-low range

Example: If IV is 30% and over the past month it ranged 20-50%:

  • IV Rank = (30-20)/(50-20) = 33%
  • IV Percentile = depends on distribution of daily IVs

Why is 1-month percentile different from 1-year percentile?

They use different lookback periods. 1-month is more reactive to recent changes, 1-year gives broader perspective.

Related Formulas

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

See ImpliedVolatilityPct1m used in a complete workbook: MarketXLS New Release 9.3.4.7

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MarketXLS Excel Add-in Tutorial - How to Use Implied Volatility Percentile (1 Month) and Other Financial Formulas
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