Displays equities with elevated, moderate, and subdued implied volatility for the current trading day, organized by IV percentile Rank.
Options serve as market based predictors of future stock volatility and stock price outcomes. The level of the implied volatility of an option signals how traders may be anticipating future stock movements. By comparing implied volatility to historical averages, investors find insights into which equities may be facing higher or lower future volatility in the future. Options with elevated implied volatility are an indication that investors are anticipating the underlying equity to experience higher than normal price swings relative to its historical range. This is often due to an upcoming or impending event such as an earnings announcement, analyst conference presentation or SEC filing.
Options with subdued implied volatility are an indication that investors may be anticipating the underlying stock to have smaller price fluctuation relative to its historical average. Since traders are pricing in lower future volatility, option premiums will be lower and the cost to hedge risk is less expensive.
Sort the tables by clicking on specific column headings. For example, click on the IV Percentile Rank column to rank symbols from low to high (click again for high to low), and evaluate possible relationships to Important Dates such as Earnings or Events, or to underlying price changes. Search for specific equities by keyword or symbol in the search box. Click on the icons in the Symbols column to view more information on the specific stock.
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|Volume and Open Interest
% Rank Where the current IV30 ranks among the daily IV30 values for the past year. Ex.: if today's IV30 is higher than 80% of the observations within the past year, the IV30 % Rank would be 80%.
Position Where the current IV30 sits relative to the 52-week high and 52-week low value for the symbol's IV30. If the 52-week high is 30 and the 52-week low is 10, and the current IV30 is 20, this value would be 50% (it is 50% of the way from 10 to 30). It is possible to have a value over 100%, if the current IV30 is above the 52-week high.
% Rank Where the current open interest ranks among the daily open interest values for the past year. Ex.: if today's open interest is higher than 45% of the observations within the past year, the Open Interest % Rank would be 45%.
Note: Symbols on the Volatility Rankings Report meet a certain minimum volume standard, which is why you don't see every symbol listed here.
Click on the IV30 52-Week Position or Open Interest % Rank values to view more details on those results.
Earnings Key: Earnings Today Confirmed Future Earnings Previous Earnings
Market Chameleon's Implied Volatility Rankings Report shows a detailed set of data for stocks, comparing their current implied volatility to historical levels. You can find symbols that have currently elevated option implied volatility, neutral, or subdued. You can also find current volume numbers, as well as find out with symbols might have important upcoming events that are affecting the volatility.
Here at Market Chameleon, we use IV30 % Rank to mean the number of days out of the past year that had a LOWER
30-day implied volatility (IV30) than the current value. If the current IV30 is higher than 80% of the observations from the past year,
then this number would be 80%. If it is higher than ALL of the observations, then it would be 100%.
It is different from the 52-Week Position because it factors in every daily observation from the past year, rather than focusing on just the highest and lowest.
At Market Chameleon, we use IV30 52-Week Position to mean the value at which the current 30-day implied volatility sits relative
to the 52-week high and 52-week low. If the current IV30 is halfway between the 52-week low and 52-week high, then it will be 50%.
It differs from the IV30 % Rank because it doesn't need every observation from the past year, it only needs the high and the low.
Note, it is possible to have a 52-Week Position above 100% if the current IV30 is above the 52-week high.
If the IV30 % Rank is above 70%, that would be considered elevated. Typically we color-code these numbers by showing them in a red color. 70% would mean that over the past year (252 trading days), the current value is higher than 70% of the observations.
The stock's volatility for the past 20 days and the past 1 year is based on the stock's actual price movements. In contrast, the implied volatility is derived from options prices, and is typically used to indicate expected future movements. If the implied volatility is higher than the historical volatility, this is an estimation that the stock will have more active price movements -- however, the implied volatility is just an estimate based on the market, and is not a guarantee of increased price activity.
Similar to IV30 % Rank, Open Interest % Rank takes the current open interest value for the entire underlying symbol and compares
it to each daily observation for the past year. If the current open interest is higher than 40% of past observations, this number would be 40%.
Since open interest can tell us how much option positions have been building up, one way to measure the magnitude of the buildup is to compare the most recent value to those historical observations.