Implied Volatility Rankings

Implied Volatility Rankings - Elevated, Subdued and Moderate

Target Earnings


Target reported better then expected earnings and is indicating to open higher by 2%. The historical earnings show 92% of the TGT earnings GAPs were to the upside for an average gain of of 4.1%. However, the history shows that the stock was slightly weaker after the opening.


Implied Volatility Rankings


The implied volatility rankings report shows a list of stocks and how the implied volatility level compares to historical levels. The report compares IV to the underlying stocks realized volatility for the last 20 and 252 days. The report also shows the implied volatility percentile rank and position rank. It is important to know the difference between the metrics as it will give you different insights into the implied volatility. The implied volatility can be split into elevated, moderate or subdued level based on the current IV percentile rank.


What is the implied volatility percentile rank?


The implied volatility percentile rank tells you what percentage of the days in the last 252 days the implied volatility was below the current level. For example, if the implied volatility is 30 and the IV% Rank is 88%, that would mean that 88% of the historical levels were below 30 and 12% were above 30.


What is implied volatility position rank?


The implied volatility position rank is a calculation to tell you where the current implied volatility is relative to the 52 week high and low level.


What does implied volatility % change tell us?


When we view an implied volatility, we want to see what the percentage change is from the previous day close. This will let us know if the current implied volatility is moving higher or lower. The inference is that if implied volatility is moving higher then the option premiums are moving up on a relative basis from the previous day. This can indicate that there are more buyers than sellers of option premiums.



Implied Volatility Chart


To view how the implied volatility has been trending, we take a look at a historical implied volatility chart. We can see how the implied volatility has been recently trending and compare the IV line to a 20 day moving average and to the realized volatility of the underlying. We can also compare implied volatility charts of 2 different stocks.