Implied Volatility Movers
Implied Volatility Movers lists stocks and ETFs one option expiration at a time, with the at-the-money implied volatility (ATM IV), its change since the previous day, and the move the options imply against the stock's past moves over the same number of days. Premium and Premium Options members see the full table and filters; everyone else sees a 10-row preview.
What is Implied Volatility Movers?
Implied volatility is the level of movement option prices are set for. When it jumps, options got more expensive - often ahead of earnings or news; when it drops, they got cheaper. Implied Volatility Movers lists the stocks and ETFs we track one expiration at a time, with the at-the-money implied volatility (ATM IV) and how much it changed since the previous day, and the move the options are pricing in against how far the stock has moved over the same number of days in the past.
How the numbers are worked out
- One row per stock and expiration. Expirations that end today or on the next trading day are left out. The expiration needs at least 1,000 contracts traded today - early in the session the bar starts lower and rises by 10 contracts a minute - and the stock at least 1,100 contracts a day on average over the last 90 trading days. There is no minimum change in implied volatility.
- ATM IV. The implied volatility at the stock's price for that expiration, worked out from the bid and ask implied volatilities of the calls and puts at the strikes on either side. ATM IV % Chg is the relative change from its last value before today: from 30 to 33 is +10%, not +3.
- Implied move. The price of the at-the-money straddle - a call plus a put - from our option pricing model, as a percentage of the stock price: the move, up or down, the options are pricing in by expiration.
- Against history. Historical Abs Avg Move and Historical Abs Max Move are the stock's average and largest moves, either way, over periods of the same length in the last 6 years. The two ratios divide the implied move by each: above 1.0 means the options price a bigger move than that benchmark.
- Dates. Days To Exp counts trading days. Earnings shows the next confirmed report, or the last one, and Event the next company event we track.
- Updates. The table is rebuilt about every 6 to 7 minutes. Until shortly after the open, and on weekends and holidays, it shows the last trading day, with that date at the top. There is no date picker.
A rise in implied volatility means options got more expensive, not that the stock will go up or down. The ratios compare option prices with past moves; they are not a forecast.
What you can find out
Where is implied volatility rising or falling the most today?
Click the ATM IV % Chg header once to put the biggest drops first, and again for the biggest rises. The ATM IV Up and ATM IV Down buttons keep only one side. See today's IV movers
Is implied volatility building ahead of earnings?
The Upcoming Earnings button keeps stocks with a report due within 10 days, and Just Released Earnings the ones that reported in the last 10, where implied volatility often drops after the news. The Earnings column shows the date. How earnings implied moves work
Are options pricing a bigger move than the stock usually makes?
Ratio Implied To Hist Abs Avg above 1.0 means the straddle prices a bigger move than the stock's average over the same number of days in the last 6 years. One-click buttons filter on this ratio above or below 1.0, and on the ratio to the largest past move above or below 0.8. Compare implied and past moves
Is the change in near-term or longer-dated options?
Each expiration has its own row, so a stock can show a jump in next week's options and little change further out. The Expiration filter keeps the next 7, 14 or 30 days, a range such as 30 to 60 days, or one date. Filter by expiration
Which stocks in a sector or on my watchlist saw implied volatility move?
Premium and Premium Options members can filter by watchlist, market cap, sector, industry, stock price and ETF or common stock, or search for a symbol or company name. Filter the report
Where to find it
Menu: Options › For Premium Users › Tools › Implied Volatility Movers, or go straight to /volReports/TopImpliedVolMovers. Click a symbol or an expiration date to open the stock's option chain for that expiration.
Premium and Premium Options members see every row, the search, the filters and sorting. Everyone else sees a preview of 10 rows from companies worth $75 billion or more, with the implied and historical move columns and the earnings and event dates blurred.
What the columns mean
| Column | What it shows |
|---|---|
| Symbol, Name, Current Price, % Chg, Market Cap | The stock, its price and its change from the previous close |
| Expiration Date, Days To Exp | The expiration and the trading days left until it |
| ATM IV, ATM IV % Chg | The expiration's at-the-money implied volatility and its relative change since the previous day |
| Option Volume | Calls and puts traded today in that expiration |
| Implied Move | The at-the-money straddle as a percentage of the stock price |
| Historical Abs Avg Move, Historical Abs Max Move | The stock's average and largest moves, either way, over the same number of days in the last 6 years |
| Ratio Implied To Hist Abs Avg / Abs Max | The implied move divided by each; 1.0 means equal |
| Earnings, Event | The stock's next confirmed or last earnings date, and its next company event |
FAQ
- What does ATM IV % Chg measure?
- The relative change in the expiration's at-the-money implied volatility from its last value before today. A move from 30 to 33 shows +10%, not +3.
- Why isn't a stock I follow on the list?
- Each row needs an expiration with at least 1,000 contracts traded today (fewer early in the session), a stock that averages at least 1,100 option contracts a day over the last 90 trading days, and an at-the-money implied volatility today and before today. Options expiring today or on the next trading day are left out.
- Is ATM IV the same as IV30?
- No. ATM IV belongs to one expiration. For a stock's 30-day implied volatility against its past year, see Implied Volatility Rankings.
- Who can use Implied Volatility Movers?
- Premium and Premium Options members see every row, the search and the filters. Everyone else sees a 10-row preview with the implied and historical move columns and the dates blurred.
- Does rising implied volatility mean the stock will move?
- Not necessarily. It means options cost more, often because traders expect news such as earnings. It doesn't say which way, or whether, the stock will move.
Related
Implied and historical volatility Options By Expiration screener Implied Volatility Rankings Earnings implied movesTerms on this page
Implied volatility At-the-money IV Implied move StraddleMarket Chameleon provides data, not investment advice.