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Stocks IV ranks and IV Percentile (MarketXLS)

Written by admin
Thu Oct 13 2022
Stocks IV ranks and IV Percentile (MarketXLS)
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Stocks IV ranks and IV Percentile (MarketXLS)

MarketXLS has evolved, with your feedback, into a cross-platform investment research tool. We received many requests to include the implied volatility functions in MarketXLS since users had to access a third- service for a single data point. With that thought in mind, we decided to include the Implied volatility functions within Marketxls so we can be the one-stop solution for your options trading analysis.

Read more on how implied volatility is calculated with earnings effect here.

Below is a complete list of new functions that we have added in this update –

  • ImpliedVolatility(symbol, date): Implied volatility at 30 days interpolated.
  • ImpliedVolatilityRank1m: A measure of implied volatility vs. its past month’s values,   but it looks only at the highest and lowest values. The formula is (Current IV – 1 month Low IV) / (1 month Max – 1   month Min).
  • ImpliedVolatilityPct1m: A measure of implied volatility vs. its past month’s values. If the IV percentile is 36%, the current IV value is higher than 36% of the previous month’s values (and lower than 64%).
  • ImpliedVolatilityRank1y: A measure of implied volatility vs. its 1-year past values, but it looks only at the highest and lowest values. The formula is   (Current IV – 1 yr Low IV) / (1 yr Max – 1 yr Min).
  • ImpliedVolatilityPct1y: A measure of implied volatility vs. its past 1-year values. If the IV percentile is 36%, the current IV value is higher than 36% of previous 1-year values (and lower than 64%).
  • ImpliedVolatility10d: 10 calendar days interpolated implied volatility
  • ImpliedVolatility20d: 20 calendar day interpolated implied volatility
  • ImpliedVolatility30d: 30 calendar day interpolated implied volatility
  • ImpliedVolatility90d: 90 calendar day interpolated implied volatility
  • ImpliedVolatility6m: 6-month interpolated implied volatility
  • ImpliedVolatility1y: one-year interpolated implied volatility
  • ExEarningsImpliedVolatility10d: Implied 10 calendar days interpolated implied volatility with earnings effect out.
  • ExEarningsImpliedVolatility20d: Implied 20 calendar day interpolated implied volatility with earnings effect out.
  • ExEarningsImpliedVolatility30d: Implied 30 calendar days interpolated implied volatility with earnings effect out.
  • ExEarningsImpliedVolatility60d: Implied 60 calendar day interpolated implied volatility with earnings effect out.
  • ExEarningsImpliedVolatility90d: Implied 90 calendar day interpolated implied volatility with earnings effect out.
  • ExEarningsImpliedVolatility6m: Implied 6-month interpolated implied volatility with earnings effect out.
  • ExEarningsImpliedVolatility1y: Implied one-year interpolated implied volatility with earnings effect out.

 

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You can check out our pricing here – https://marketxls.com/pricing.

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