Stream Option Volatility Change
Streams the real-time change in implied volatility (IV) for options contracts. This shows how much IV has moved from the previous session.
Symbol Format
Options use OCC (Options Clearing Corporation) format:
- Format:
SYMBOL + YYMMDD + C/P + Strike(8 digits) - Example:
AAPL240315C00170000= AAPL Call, Mar 15 2024, Strike $170
IV Change Interpretation
| Change | Meaning |
|---|---|
| +0.05 | IV increased 5 percentage points |
| -0.03 | IV decreased 3 percentage points |
| Large positive | Increasing uncertainty/fear |
| Large negative | Decreasing uncertainty (IV crush) |
Notes
- Data streams automatically update in Excel
- Change is expressed as decimal
- Large negative change after earnings = IV crush
Syntax
=QM_Stream_ImpliedVolatalityChange(Symbol)Parameters
symbolstringRequired
Option symbol in OCC format
Returns
number
Change in implied volatility
Examples
=QM_Stream_ImpliedVolatalityChange("AAPL240315C00170000")=QM_Stream_ImpliedVolatalityChange("MSFT240315P00400000")Option symbol from cell
=QM_Stream_ImpliedVolatalityChange("AAPL240315C00170000")*100When to Use
- Monitoring IV crush/expansion
- Volatility trading strategies
- Post-earnings analysis
- Tracking market sentiment changes
When NOT to Use
| Scenario | Use Instead |
|---|---|
| Need current IV | QM_Stream_ImpliedVolatality() |
| Need vega | QM_Stream_Vega() |
| Need option price | QM_Stream_Last() |
| Need price change | QM_Stream_Change() |
Common Issues & FAQ
What causes IV change?
IV changes due to market events, earnings announcements, news, and overall market sentiment.
What is IV crush?
IV crush is a large negative IV change, often seen after earnings when uncertainty resolves.
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