Option Implied Volatility Rankings Report

Report Date: 17-Jan-2020

Displays equities with elevated 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.

To learn more about Volatility, click here.

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Earnings Key:

Earnings Today
Confirmed Future Earnings
Previous Earnings