Signal Reference
Asset Specs
Asset Type
Type
The type of the underlying instrument (Stock, ETF, Index, etc).
Market Cap
Market Cap
The underlying instrument's market capitalization.
Div Freq
Underlying Dividend Frequency
Number of dividends per year.
Div Yield
Underlying Dividend Yield
Annualized dividends divided by stock price.
Div Growth
Underlying Dividend Growth
Slope of the forecasted dividends annualized.
Next Div Date
Underlying Next Dividend Date
Next dividend date.
Div Amt
Underlying Dividend Amount
Dividend amount.
Takeover
Take Over
Boolean representing whether the underlying is being taken over or is rumored to be a takeover target.
Sector Name
Sector Name
Name of the sector for the underlying.
Next Div
Next Dividend
Next dividend amount.
Implied Div
Implied Next Dividend
Implied next dividend amount calculated from put-call parity.
Ann Div Amt
Annual Dividend Amount
Annual dividend amount for the next year of dividends.
Implied Ann Div
Implied Annual Dividend Amount
Implied dividend amount for the next year of dividends calculated from put call parity.
Broad Market
RFR (5w)
5w Risk Free Rate
5 week risk free US treasury rate.
RFR (LT)
Long Term Risk Free Rate
Long term risk free US treasury rate.
Borrow Rate (30d)
30d Borrow Rate
OptionQuants calculates the 30-day hard-to-borrow interest rate based on option prices and put-call parity principles.
Borrow Rate (2y)
2y Borrow Rate
OptionQuants calculates the 2-year hard-to-borrow interest rate based on option prices and put-call parity principles.
Contract Specs
DTE M1
DTE of Closest Monthly Expiration
Days to expiration for the closest month's standard options cycle.
DTE M2
DTE of 2nd Monthly Expiration
Days to expiration for the second month's standard options cycle.
DTE M3
DTE of 3rd Monthly Expiration
Days to expiration for the third month's standard options cycle.
DTE M4
DTE of 4th Monthly Expiration
Days to expiration for the fourth month's standard options cycle.
Px 1K Gamma
Price of 1000 gamma
Estimated cost of 1000 gamma per day for the 30d options.
Straddle Px M1
Straddle Price Closest Monthly Expiration
At the money straddle price of the closest standard monthly expiration.
Straddle Px M2
Straddle Price 2nd Monthly Expiration
At the money straddle price of the second standard monthly expiration.
Smooth Straddle Px M1
Smooth Straddle Price Closest Monthly Expiration
At the money straddle price of the closest standard monthly expiration using interpolated smooth fit between all strikes.
Smooth Straddle Px M2
Smooth Straddle Price 2nd Monthly Expiration
At the money straddle price of the second standard monthly expiration using interpolated smooth fit between all strikes.
Fcst Straddle Px M1
Forecasted Straddle Price Closest Monthly Expiration
At the money forecasted straddle price of the closest standard monthly expiration.
Fcst Straddle Px M2
Forecasted Straddle Price 2nd Monthly Expiration
At the money forecasted straddle price of the second standard monthly expiration.
Low Strike M1
Low Strike Closest Monthly Expiration
The low strike price of the closest standard monthly expiration used for straddle/strangle calculations.
High Strike M1
High Strike Closest Monthly Expiration
The high strike price of the closest standard monthly expiration used for straddle/strangle calculations.
Low Strike M2
Low Strike 2nd Monthly Expiration
The low strike price of the second standard monthly expiration used for straddle/strangle calculations.
High Strike M2
High Strike 2nd Monthly Expiration
The high strike price of the second standard monthly expiration used for straddle/strangle calculations.
Earnings
VDR
Volatility Deviation Ratio
The Volatility Deviation Ratio (VDR) compares the actual volatility on the earnings day and the day after to the implied volatility for the day before and after earnings. It’s calculated by averaging the actual volatility of the earnings day and the following day, then dividing by the product of the implied volatilities for the days before and after earnings. A ratio above 1 indicates higher-than-expected volatility, while below 1 suggests lower-than-expected volatility.
Implied ER Effect
Implied Earnings Effect
OptionQuants calculates the market-implied earnings effect by applying a term structure model that adjusts for the impact of earnings over the months influenced by them.
Fcst ER Effect
Forecasted Earnings Effect
Forecasted earnings effect considering several historical and present factors.
Stdev ER Moves (12)
Stdev of Past 12 Earnings Moves
Standard deviation of previous 12 absolute value earnings moves.
Implied ER Effect
Implied Earnings Effect
The implied earnings effect (percentage of expected normal move) to make the best-fit term structure fit.
Implied ER Move
Implied Earnings Move
The absolute value percent earnings move implied by the implied volatilities.
Avg Implied Earnings Move
Average Implied Earnings Move
Average market-implied percentage earnings move historically.
Avg Earnings Move
Average Earnings Move
Average market-implied percentage earnings change historically.
Avg Implied vs Avg Earnings Move
Market-Implied Average Earnings Move vs Average Earnings Move
Difference between market-implied average and average earnings move.
Avg Earnings IV Crush
Average IV Crush
Average percentage decrease in implied volatility after earnings announcement.
Next Earnings Date
Next Earnings Date
Date of the next earnings announcement.
Next Earnings Time
Next Earnings Time
Time of the next earnings announcement.
Avg Earnings Long Straddle Return
Average Earnings Straddle Return
Average percentage return from holding a straddle through earnings.
Avg Earnings Long Put Return
Average Earnings Put Return
Average percentage return from holding a put through earnings.
Avg Earnings Long Call Return
Average Earnings Call Return
Average percentage return from holding a call through earnings.
Forward Volatility
Fwd IV (20d-30d)
Forward Implied Volatility Between 20d and 30d
The forward volatility calculated between the 20-day implied volatility and 30-day implied volatility.
Fwd IV (30d-60d)
Forward Implied Volatility Between 30d and 60d
The forward volatility calculated between the 30-day implied volatility and 60-day implied volatility.
Fwd IV (60d-90d)
Forward Implied Volatility Between 60d and 90d
The forward volatility calculated between the 60-day implied volatility and 90-day implied volatility.
Fwd IV (90d-180d)
Forward Implied Volatility Between 90d and 180d
The forward volatility calculated between the 90-day implied volatility and 180-day implied volatility.
Fwd IV (30d-90d)
Forward Implied Volatility Between 30d and 90d
The forward volatility calculated between the 30-day implied volatility and 90-day implied volatility.
Flat Fwd IV (20d-30d)
Flat Forward Implied Volatility Between 20d and 30d
The flat forward implied volatility calculated between the 20-day and 30-day implied volatility.
Flat Fwd IV (30d-60d)
Flat Forward Implied Volatility Between 30d and 60d
The flat forward implied volatility calculated between the 30-day and 60-day implied volatility.
Flat Fwd IV (60d-90d)
Flat Forward Implied Volatility Between 60d and 90d
The flat forward implied volatility calculated between the 60-day and 90-day implied volatility.
Flat Fwd IV (90d-180d)
Flat Forward Implied Volatility Between 90d and 180d
The flat forward implied volatility calculated between the 90-day and 180-day implied volatility.
Flat Fwd IV (30d-90d)
Flat Forward Implied Volatility Between 30d and 90d
The flat forward implied volatility calculated between the 30-day and 90-day implied volatility.
Flat Fwd Ratio (20d-30d)
Flat Forward Ratio Between 20d and 30d
The ratio of flat forward implied volatility to normal forward implied volatility between the 20-day and 30-day implied volatility.
Flat Fwd Ratio (30d-60d)
Flat Forward Ratio Between 30d and 60d
The ratio of flat forward implied volatility to normal forward implied volatility between the 30-day and 60-day implied volatility.
Flat Fwd Ratio (60d-90d)
Flat Forward Ratio Between 60d and 90d
The ratio of flat forward implied volatility to normal forward implied volatility between the 60-day and 90-day implied volatility.
Flat Fwd Ratio (90d-180d)
Flat Forward Ratio Between 90d and 180d
The ratio of flat forward implied volatility to normal forward implied volatility between the 90-day and 180-day implied volatility.
Flat Fwd Ratio (30d-90d)
Flat Forward Ratio Between 30d and 90d
The ratio of flat forward implied volatility to normal forward implied volatility between the 30-day and 90-day implied volatility.
Forward Volatility (Ex-Earn)
Ex-Earn Fwd IV (20d-30d)
Ex-Earnings Forward Implied Volatility Between 20d and 30d
The forward volatility calculated between the 20-day and 30-day implied volatility with the earnings effect removed.
Ex-Earn Fwd IV (30d-60d)
Ex-Earnings Forward Implied Volatility Between 30d and 60d
The forward volatility calculated between the 30-day and 60-day implied volatility with the earnings effect removed.
Ex-Earn Fwd IV (60d-90d)
Ex-Earnings Forward Implied Volatility Between 60d and 90d
The forward volatility calculated between the 60-day and 90-day implied volatility with the earnings effect removed.
Ex-Earn Fwd IV (90d-180d)
Ex-Earnings Forward Implied Volatility Between 90d and 180d
The forward volatility calculated between the 90-day and 180-day implied volatility with the earnings effect removed.
Ex-Earn Fwd IV (30d-90d)
Ex-Earnings Forward Implied Volatility Between 30d and 90d
The forward volatility calculated between the 30-day and 90-day implied volatility with the earnings effect removed.
Ex-Earn Flat Fwd IV (20d-30d)
Ex-Earnings Flat Forward Implied Volatility Between 20d and 30d
The flat forward implied volatility calculated between the 20-day and 30-day implied volatility with the earnings effect removed.
Ex-Earn Flat Fwd IV (30d-60d)
Ex-Earnings Flat Forward Implied Volatility Between 30d and 60d
The flat forward implied volatility calculated between the 30-day and 60-day implied volatility with the earnings effect removed.
Ex-Earn Flat Fwd IV (60d-90d)
Ex-Earnings Flat Forward Implied Volatility Between 60d and 90d
The flat forward implied volatility calculated between the 60-day and 90-day implied volatility with the earnings effect removed.
Ex-Earn Flat Fwd IV (90d-180d)
Ex-Earnings Flat Forward Implied Volatility Between 90d and 180d
The flat forward implied volatility calculated between the 90-day and 180-day implied volatility with the earnings effect removed.
Ex-Earn Flat Fwd IV (30d-90d)
Ex-Earnings Flat Forward Implied Volatility Between 30d and 90d
The flat forward implied volatility calculated between the 30-day and 90-day implied volatility with the earnings effect removed.
Ex-Earn Flat Fwd Ratio (20d-30d)
Ex-Earnings Flat Forward Ratio Between 20d and 30d
The ratio of flat forward implied volatility to normal forward implied volatility between the 20-day and 30-day implied volatility with the earnings effect removed.
Ex-Earn Flat Fwd Ratio (30d-60d)
Ex-Earnings Flat Forward Ratio Between 30d and 60d
The ratio of flat forward implied volatility to normal forward implied volatility between the 30-day and 60-day implied volatility with the earnings effect removed.
Ex-Earn Flat Fwd Ratio (60d-90d)
Ex-Earnings Flat Forward Ratio Between 60d and 90d
The ratio of flat forward implied volatility to normal forward implied volatility between the 60-day and 90-day implied volatility with the earnings effect removed.
Ex-Earn Flat Fwd Ratio (90d-180d)
Ex-Earnings Flat Forward Ratio Between 90d and 180d
The ratio of flat forward implied volatility to normal forward implied volatility between the 90-day and 180-day implied volatility with the earnings effect removed.
Ex-Earn Flat Fwd Ratio (30d-90d)
Ex-Earnings Flat Forward Ratio Between 30d and 90d
The ratio of flat forward implied volatility to normal forward implied volatility between the 30-day and 90-day implied volatility with the earnings effect removed.
IV
Fcst IV (20)
20d Forecasted Implied Volatility
OptionQuants provides a 20-day implied volatility forecast, excluding the impact of earnings, which can be compared to the 20-day implied volatility. These forecasts are derived using ex-earnings historical volatility, ex-earnings implied volatility, and the relationships between implied and historical volatility, along with related ETF volatility correlations.
LT Fcst IV
Long Term Forecasted Implied Volatility
OptionQuants provides a forecast of long-term implied volatility, which can be compared to actual implied volatility or long-term observed levels. These projections are developed using very long-term ex-earnings historical volatility, ex-earnings implied volatility, and the relationships between implied and historical volatility, along with corresponding ETF volatility dynamics.
ATM IV M1
ATM Implied Volatility of Closest Monthly Expiration
OptionQuants at the money implied volatility for the nearest standard expiration.
ATM Fit IV M1
ATM Fitted Implied Volatility of Closest Monthly Expiration
OptionQuants calculates the at-the-money monthly fit volatility for the first month using the forecast's term structure alongside the implied at-the-money volatility.
ATM Fcst IV M1
ATM Forecasted Implied Volatility of Closest Monthly Expiration
OptionQuants provides a volatility forecast for the first month, incorporating the ex-earnings projection along with the earnings impact at the current days to expiration.
ATM IV M2
ATM Implied Volatility of 2nd Monthly Expiration
OptionQuants at the money implied volatility for the second closest expiration.
ATM Fit IV M2
ATM Fitted Implied Volatility of 2nd Monthly Expiration
OptionQuants calculates the at-the-money monthly fit volatility for the second month using the forecast's term structure alongside the implied at-the-money volatility.
ATM Fcst IV M2
ATM Forecasted Implied Volatility of 2nd Monthly Expiration
OptionQuants provides a volatility forecast for the second month, incorporating the ex-earnings projection along with the earnings impact at the current days to expiration.
ATM IV M3
ATM Implied Volatility of 3rd Monthly Expiration
OptionQuants at the money implied volatility for the third closest expiration.
ATM Fit IV M3
ATM Fitted Implied Volatility of 3rd Monthly Expiration
OptionQuants calculates the at-the-money monthly fit volatility for the third month using the forecast's term structure alongside the implied at-the-money volatility.
ATM Fcst IV M3
ATM Forecasted Implied Volatility of 3rd Monthly Expiration
OptionQuants provides a volatility forecast for the third month, incorporating the ex-earnings projection along with the earnings impact at the current days to expiration.
ATM IV M4
ATM Implied Volatility of 4th Monthly Expiration
OptionQuants at the money implied volatility for the fourth closest expiration.
ATM Fit IV M4
ATM Fitted Implied Volatility of 4th Monthly Expiration
OptionQuants calculates the at-the-money monthly fit volatility for the fourth month using the forecast's term structure alongside the implied at-the-money volatility.
ATM Fcst IV M4
ATM Forecasted Implied Volatility of 4th Monthly Expiration
OptionQuants provides a volatility forecast for the fourth month, incorporating the ex-earnings projection along with the earnings impact at the current days to expiration.
IV (20d)
20d Interpolated Implied Volatility
20 calendar day interpolated implied volatility, calculated over the past 20 calendar days.
IV (30d)
30d Interpolated Implied Volatility
30 calendar day interpolated implied volatility, calculated over the past 30 calendar days.
IV (60d)
60d Interpolated Implied Volatility
60 calendar day interpolated implied volatility, calculated over the past 60 calendar days.
IV (90d)
90d Interpolated Implied Volatility
90 calendar day interpolated implied volatility, calculated over the past 90 calendar days.
IV (6m)
6m Interpolated Implied Volatility
6-month interpolated implied volatility, calculated over the past 6 months.
IV (10d)
10d Interpolated Implied Volatility
10 calendar day interpolated implied volatility, calculated over the past 10 calendar days.
IV (1y)
1 Year Interpolated Implied Volatility
365 calendar day interpolated implied volatility, calculated over the past 365 calendar days.
IV (Ex-Earn)
Ex-Earn IV (20)
20d Ex-Earnings Implied Volatility
OptionQuants 20-day interpolated implied option volatility, adjusted to remove the impact of earnings.
LT Ex-Earn IV
Long Term Ex-Earnings Implied Volatility
OptionQuants calculates long-term implied volatility using a term structure model set two years out, adjusted to exclude the impact of earnings.
IV 200MA (20d)
20d Ex-Earnings Implied Volatility 200-Day Moving Average
200-day moving average of the OptionQuants 20-day ex-earnings implied volatility.
Ex-Earn IV (10d)
10d Ex-Earnings Implied Volatility
10-day implied volatility with earnings effect removed.
Ex-Earn IV (20d)
20d Ex-Earnings Implied Volatility
20-day implied volatility with earnings effect removed.
Ex-Earn IV (30d)
30d Ex-Earnings Implied Volatility
30-day implied volatility with earnings effect removed.
Ex-Earn IV (60d)
60d Ex-Earnings Implied Volatility
60-day implied volatility with earnings effect removed.
Ex-Earn IV (90d)
90d Ex-Earnings Implied Volatility
90-day implied volatility with earnings effect removed.
Ex-Earn IV (6m)
6m Ex-Earnings Implied Volatility
6-month implied volatility with earnings effect removed.
Ex-Earn IV (1y)
1yr Ex-Earnings Implied Volatility
1-year implied volatility with earnings effect removed.
IV Metrics
Vol of IV
Vol of Ivol
The annualized standard deviation of OptionQuants' 30-day ex-earnings implied volatility over a one-year period.
Fcst IV R² (20d)
20d Forecasted Implied Volatility R^2
OptionQuants evaluates the accuracy of the 20-day forecast by measuring its goodness of fit against the actual 20-day future implied volatility. This metric helps assess the reliability and performance of the forecast model over time.
IV Pctl (1m)
1m IV Percentile
IV Percentile of 30-day ex-earnings IV in 30-day period.
IV Pctl (1y)
1y IV Percentile
IV Percentile of 30-day ex-earnings IV in 1-year period.
IV Z-Score
IV Z-Score
The number of standard deviations current 30-day ex-earnings IV is away from its mean over 1-year period.
IV Stdev (1y)
IV Stdev 1y
The standard deviation of 30-day ex-earnings IV over 1-year period.
IV/RV Metrics
IV vs RV R²
IV vs RV R^2
Regression between 30-day IV and the 20-day realized volatility.
IV/RV Metrics (Ex-Earn)
IV/RV
IV / RV
30-day IV over 20-day realized volatility ex-earnings.
IV/RV vs Avg (1m)
IV / RV vs 1m Avg
30-day IV over 20-day realized volatility ex-earnings divided by its average over past month.
IV/RV vs Avg (1y)
IV / RV vs 1y Avg
30-day IV over 20-day realized volatility ex-earnings divided by its average over past year.
IV/RV Stdev (1y)
IV / RV 1y Stdev
30-day IV over 20-day realized volatility ex-earnings divided by its standard deviation over past year.
Liquidity
Call Volume
Call Volume
Total call option volume for all contracts.
Call OI
Call Open Interest
Total call option open interest for all contracts.
Put Volume
Put Volume
Total put option volume for all contracts.
Put OI
Put Open Interest
Total put option open interest for all contracts.
IV Spread (30d)
30d IV Spread
OptionQuants measures market width (bid/ask) in implied volatility points at an interpolated 30-day to expiration.
LT IV Spread
Long Term IV Spread
OptionQuants measures market width (bid/ask) in implied volatility points at an interpolated 2 years to expiration.
Underlying Volume
Underlying Volume
Total underlying traded volume today.
Avg Opt Volume (20d)
20d Avg Option Volume
Average total options volume for the previous 20 days.
Open Interest
Open Interest
Total open interest for all contracts.
Non-ATM IV
IV D5 (10d)
5-Delta 10d Implied Volatility
The 10-day implied volatility at the 5 delta.
IV D5 (20d)
5-Delta 20d Implied Volatility
The 20-day implied volatility at the 5 delta.
IV D5 (30d)
5-Delta 30d Implied Volatility
The 30-day implied volatility at the 5 delta.
IV D5 (60d)
5-Delta 60d Implied Volatility
The 60-day implied volatility at the 5 delta.
IV D5 (90d)
5-Delta 90d Implied Volatility
The 90-day implied volatility at the 5 delta.
IV D5 (6m)
5-Delta 6m Implied Volatility
The 6-month implied volatility at the 5 delta.
IV D5 (1y)
5-Delta 1y Implied Volatility
The 1-year implied volatility at the 5 delta.
IV D25 (10d)
25-Delta 10d Implied Volatility
The 10-day implied volatility at the 25 delta.
IV D25 (20d)
25-Delta 20d Implied Volatility
The 20-day implied volatility at the 25 delta.
IV D25 (30d)
25-Delta 30d Implied Volatility
The 30-day implied volatility at the 25 delta.
IV D25 (60d)
25-Delta 60d Implied Volatility
The 60-day implied volatility at the 25 delta.
IV D25 (90d)
25-Delta 90d Implied Volatility
The 90-day implied volatility at the 25 delta.
IV D25 (6m)
25-Delta 6m Implied Volatility
The 6-month implied volatility at the 25 delta.
IV D25 (1y)
25-Delta 1y Implied Volatility
The 1-year implied volatility at the 25 delta.
IV D75 (10d)
75-Delta 10d Implied Volatility
The 10-day implied volatility at the 75 delta.
IV D75 (20d)
75-Delta 20d Implied Volatility
The 20-day implied volatility at the 75 delta.
IV D75 (30d)
75-Delta 30d Implied Volatility
The 30-day implied volatility at the 75 delta.
IV D75 (60d)
75-Delta 60d Implied Volatility
The 60-day implied volatility at the 75 delta.
IV D75 (90d)
75-Delta 90d Implied Volatility
The 90-day implied volatility at the 75 delta.
IV D75 (6m)
75-Delta 6m Implied Volatility
The 6-month implied volatility at the 75 delta.
IV D75 (1y)
75-Delta 1y Implied Volatility
The 1-year implied volatility at the 75 delta.
IV D95 (10d)
95-Delta 10d Implied Volatility
The 10-day implied volatility at the 95 delta.
IV D95 (20d)
95-Delta 20d Implied Volatility
The 20-day implied volatility at the 95 delta.
IV D95 (30d)
95-Delta 30d Implied Volatility
The 30-day implied volatility at the 95 delta.
IV D95 (60d)
95-Delta 60d Implied Volatility
The 60-day implied volatility at the 95 delta.
IV D95 (90d)
95-Delta 90d Implied Volatility
The 90-day implied volatility at the 95 delta.
IV D95 (6m)
95-Delta 6m Implied Volatility
The 6-month implied volatility at the 95 delta.
IV D95 (1y)
95-Delta 1y Implied Volatility
The 1-year implied volatility at the 95 delta.
Non-ATM IV (Ex-Earn)
Ex-Earn IV D5 (10d)
5-Delta 10d Ex-Earnings Implied Volatility
The 10-day implied volatility with the earnings effect removed.
Ex-Earn IV D5 (20d)
5-Delta 20d Ex-Earnings Implied Volatility
The 20-day implied volatility with the earnings effect removed.
Ex-Earn IV D5 (30d)
5-Delta 30d Ex-Earnings Implied Volatility
The 30-day implied volatility with the earnings effect removed.
Ex-Earn IV D5 (60d)
5-Delta 60d Ex-Earnings Implied Volatility
The 60-day implied volatility with the earnings effect removed.
Ex-Earn IV D5 (90d)
5-Delta 90d Ex-Earnings Implied Volatility
The 90-day implied volatility with the earnings effect removed.
Ex-Earn IV D5 (6m)
5-Delta 6m Ex-Earnings Implied Volatility
The 6-month implied volatility with the earnings effect removed.
Ex-Earn IV D5 (1y)
5-Delta 1y Ex-Earnings Implied Volatility
The 1-year implied volatility with the earnings effect removed.
Ex-Earn IV D25 (10d)
25-Delta 10d Ex-Earnings Implied Volatility
The 10-day implied volatility at the 25 delta with the earnings effect removed.
Ex-Earn IV D25 (20d)
25-Delta 20d Ex-Earnings Implied Volatility
The 20-day implied volatility at the 25 delta with the earnings effect removed.
Ex-Earn IV D25 (30d)
25-Delta 30d Ex-Earnings Implied Volatility
The 30-day implied volatility at the 25 delta with the earnings effect removed.
Ex-Earn IV D25 (60d)
25-Delta 60d Ex-Earnings Implied Volatility
The 60-day implied volatility at the 25 delta with the earnings effect removed.
Ex-Earn IV D25 (90d)
25-Delta 90d Ex-Earnings Implied Volatility
The 90-day implied volatility at the 25 delta with the earnings effect removed.
Ex-Earn IV D25 (6m)
25-Delta 6m Ex-Earnings Implied Volatility
The 6-month implied volatility at the 25 delta with the earnings effect removed.
Ex-Earn IV D25 (1y)
25-Delta 1y Ex-Earnings Implied Volatility
The 1-year implied volatility at the 25 delta with the earnings effect removed.
Ex-Earn IV D75 (10d)
75-Delta 10d Ex-Earnings Implied Volatility
The 10-day implied volatility at the 75 delta with the earnings effect removed.
Ex-Earn IV D75 (20d)
75-Delta 20d Ex-Earnings Implied Volatility
The 20-day implied volatility at the 75 delta with the earnings effect removed.
Ex-Earn IV D75 (30d)
75-Delta 30d Ex-Earnings Implied Volatility
The 30-day implied volatility at the 75 delta with the earnings effect removed.
Ex-Earn IV D75 (60d)
75-Delta 60d Ex-Earnings Implied Volatility
The 60-day implied volatility at the 75 delta with the earnings effect removed.
Ex-Earn IV D75 (90d)
75-Delta 90d Ex-Earnings Implied Volatility
The 90-day implied volatility at the 75 delta with the earnings effect removed.
Ex-Earn IV D75 (6m)
75-Delta 6m Ex-Earnings Implied Volatility
The 6-month implied volatility at the 75 delta with the earnings effect removed.
Ex-Earn IV D75 (1y)
75-Delta 1y Ex-Earnings Implied Volatility
The 1-year implied volatility at the 75 delta with the earnings effect removed.
Ex-Earn IV D95 (10d)
95-Delta 10d Ex-Earnings Implied Volatility
The 10-day implied volatility at the 95 delta with the earnings effect removed.
Ex-Earn IV D95 (20d)
95-Delta 20d Ex-Earnings Implied Volatility
The 20-day implied volatility at the 95 delta with the earnings effect removed.
Ex-Earn IV D95 (30d)
95-Delta 30d Ex-Earnings Implied Volatility
The 30-day implied volatility at the 95 delta with the earnings effect removed.
Ex-Earn IV D95 (60d)
95-Delta 60d Ex-Earnings Implied Volatility
The 60-day implied volatility at the 95 delta with the earnings effect removed.
Ex-Earn IV D95 (90d)
95-Delta 90d Ex-Earnings Implied Volatility
The 90-day implied volatility at the 95 delta with the earnings effect removed.
Ex-Earn IV D95 (6m)
95-Delta 6m Ex-Earnings Implied Volatility
The 6-month implied volatility at the 95 delta with the earnings effect removed.
Ex-Earn IV D95 (1y)
95-Delta 1y Ex-Earnings Implied Volatility
The 1-year implied volatility at the 95 delta with the earnings effect removed.
Other
Ticker
Ticker
The unique identifying ticker for the underlying instrument.
Timestamp
Datetime
The date and time of the data point.
RV
Fcst RV (20)
20d Forecasted Realized Volatility
OptionQuants projection of stock volatility over the upcoming 20 trading days, utilizing data adjusted to exclude earnings effects. This forecast is built upon short-term historical volatility excluding earnings, ex-earnings implied volatility, and the interplay between implied and historical volatility, as well as corresponding ETF volatility relationships.
RV (1d)
1d Intraday Realized Volatility
1-day historical intraday realized volatility, calculated from intraday price changes for the past day.
RV (5d)
5d Intraday Realized Volatility
5-day historical intraday realized volatility, calculated from intraday price changes over the past 5 days.
RV (10d)
10d Intraday Realized Volatility
10-day historical intraday realized volatility, calculated from intraday price changes over the past 10 days.
RV (20d)
20d Intraday Realized Volatility
20-day historical intraday realized volatility, calculated from intraday price changes over the past 20 days.
RV (60d)
60d Intraday Realized Volatility
60-day historical intraday realized volatility, calculated from intraday price changes over the past 60 days.
RV (90d)
90d Intraday Realized Volatility
90-day historical intraday realized volatility, calculated from intraday price changes over the past 90 days.
RV (120d)
120d Intraday Realized Volatility
120-day historical intraday realized volatility, calculated from intraday price changes over the past 120 days.
RV (252d)
252d Intraday Realized Volatility
252-day historical intraday realized volatility, calculated from intraday price changes over the past 252 days.
RV (500d)
500d Intraday Realized Volatility
500-day historical intraday realized volatility, calculated from intraday price changes over the past 500 days.
RV (1000d)
1000d Intraday Realized Volatility
1000-day historical intraday realized volatility, calculated from intraday price changes over the past 1000 days.
RV (5d C2C)
5d Close-to-Close Volatility
5-day historical close-to-close realized volatility, calculated from daily closing price changes over the past 5 days.
RV (10d C2C)
10d Close-to-Close Volatility
10-day historical close-to-close realized volatility, calculated from daily closing price changes over the past 10 days.
RV (20d C2C)
20d Close-to-Close Volatility
20-day historical close-to-close realized volatility, calculated from daily closing price changes over the past 20 days.
RV (60d C2C)
60d Close-to-Close Volatility
60-day historical close-to-close realized volatility, calculated from daily closing price changes over the past 60 days.
RV (90d C2C)
90d Close-to-Close Volatility
90-day historical close-to-close realized volatility, calculated from daily closing price changes over the past 90 days.
RV (120d C2C)
120d Close-to-Close Volatility
120-day historical close-to-close realized volatility, calculated from daily closing price changes over the past 120 days.
RV (252d C2C)
252d Close-to-Close Volatility
252-day historical close-to-close realized volatility, calculated from daily closing price changes over the past 252 days.
RV (500d C2C)
500d Close-to-Close Volatility
500-day historical close-to-close realized volatility, calculated from daily closing price changes over the past 500 days.
RV (1000d C2C)
1000d Close-to-Close Volatility
1000-day historical close-to-close realized volatility, calculated from daily closing price changes over the past 1000 days.
RV (Ex-Earn)
RV Ex-Earn (5d)
5d Ex-Earnings Intraday Realized Volatility
5-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (10d)
10d Ex-Earnings Intraday Realized Volatility
10-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (20d)
20d Ex-Earnings Intraday Realized Volatility
20-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (60d)
60d Ex-Earnings Intraday Realized Volatility
60-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (90d)
90d Ex-Earnings Intraday Realized Volatility
90-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (120d)
120d Ex-Earnings Intraday Realized Volatility
120-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (252d)
252d Ex-Earnings Intraday Realized Volatility
252-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (500d)
500d Ex-Earnings Intraday Realized Volatility
500-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (1000d)
1000d Ex-Earnings Intraday Realized Volatility
1000-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (5d C2C)
5d Ex-Earnings Close-to-Close Realized Volatility
5-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (10d C2C)
10d Ex-Earnings Close-to-Close Realized Volatility
10-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (20d C2C)
20d Ex-Earnings Close-to-Close Realized Volatility
20-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (60d C2C)
60d Ex-Earnings Close-to-Close Realized Volatility
60-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (90d C2C)
90d Ex-Earnings Close-to-Close Realized Volatility
90-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (120d C2C)
120d Ex-Earnings Close-to-Close Realized Volatility
120-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (252d C2C)
252d Ex-Earnings Close-to-Close Realized Volatility
252-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (500d C2C)
500d Ex-Earnings Close-to-Close Realized Volatility
500-day historical realized volatility excluding day of and after earnings.
RV Ex-Earn (1000d C2C)
1000d Ex-Earnings Close-to-Close Realized Volatility
1000-day historical realized volatility excluding day of and after earnings.
RV Metrics
Vol of Vol
Vol of Vol
Annualized standard deviation of daily statistical volatility over a one-year period, based on OptionQuants' short-term intraday volatility metric.
Fcst RV R² (20d)
20d Forecasted Realized Volatility R^2
OptionQuants evaluates the accuracy of the 20-day forecast by measuring its goodness of fit against the actual 20-day future realized volatility. This metric helps assess the reliability and performance of the forecast model over time.
Relative Value
Best ETF
Best ETF
Nearest SPDR Sector ETF (defaulting to SPY or RUT if no match is found).
Corr SPY (1m)
1m SPY IV Correlation
30-day correlation between 30-day options for underlying and SPY.
Corr SPY (1y)
1y SPY IV Correlation
1-year correlation between 1-year options for underlying and SPY.
Corr ETF (1m)
1m ETF IV Correlation
30-day correlation between 30-day options for underlying and the best ETF.
Corr ETF (1y)
1y ETF IV Correlation
1-year correlation between 1-year options for underlying and the best ETF.
Beta (1m)
1m Beta
30-day beta of underlying price with SPY.
Beta (1y)
1y Beta
1-year beta of underlying price with SPY.
IV Pctl SPY
IV Percentile vs SPY
IV Percentile of 30-day ex-earnings IV in underlying / 30-day IV in SPY over 1-year period.
IV Pctl ETF
IV Percentile vs ETF
IV Percentile of 30-day ex-earnings IV in underlying / 30-day IV in the best ETF over 1-year period.
IV/SPY
IV SPY Ratio
Ratio of 30-day ex-earnings IV over 30-day IV in SPY.
Avg IV/SPY (1m)
1m Avg IV SPY Ratio
Average 30-day ex-earnings IV over 30-day IV in SPY over 1-month period.
Avg IV/SPY (1y)
1y Avg IV SPY Ratio
Average 30-day ex-earnings IV over 30-day IV in SPY over 1-year period.
Stdev IV/SPY (1y)
1y Stdev IV SPY Ratio
Standard deviation of 30-day ex-earnings IV over 30-day IV in SPY over 1-year period.
IV ETF Ratio
IV ETF Ratio
Ratio of 30-day ex-earnings IV Over 30-day IV in best ETF.
1m Avg IV ETF Ratio
1m Avg IV ETF Ratio
Average 30-day ex-earnings IV over 30-day IV in best ETF over 1-month period.
1y Avg IV ETF Ratio
1y Avg IV ETF Ratio
Average 30-day ex-earnings IV over 30-day IV in best ETF over 1-year period.
1y Stdev IV ETF Ratio
1y Stdev IV ETF Ratio
Standard deviation of 30-day ex-earnings IV over 30-day IV in best ETF over 1-year period.
IV/RV vs ETF IV/RV
IV / RV vs ETF IV / RV
30-day IV over 20-day realized volatility ex-earnings divided by best ETF 30-day IV over best ETF 20-day realized volatility.
1m Avg IV/RV vs ETF IV/RV
1m Avg IV / RV vs ETF IV / RV
1-month average of 30-day IV over 20-day realized volatility ex-earnings divided by best ETF 30-day IV over best ETF 20-day realized volatility.
1y Avg IV/RV vs ETF IV/RV
1y Avg IV / RV vs ETF IV / RV
1-year average of 30-day IV over 20-day realized volatility ex-earnings divided by best ETF 30-day IV over best ETF 20-day realized volatility.
1y Stdev IV/RV vs ETF IV/RV
1y Stdev IV / RV vs ETF IV / RV
1-year standard deviation of 30-day IV over 20-day realized volatility ex-earnings divided by best ETF 30-day IV over best ETF 20-day realized volatility.
Skew Slope/ETF
Skew Slope vs ETF Skew Slope
Ratio of current 30-day options skew slope and best ETF 30-day options skew slope.
1m Avg Skew Slope vs ETF
1m Avg Skew Slope vs ETF Skew Slope
1-month average of ratio of current 30-day skew slope and best ETF 30-day options skew slope.
1y Avg Skew Slope vs ETF
1y Avg Skew Slope vs ETF Skew Slope
1-year average of ratio of current 30-day skew slope and best ETF 30-day options skew slope.
1y Stdev Skew Slope vs ETF
1y Stdev Skew Slope vs ETF Skew Slope
1-year standard deviation of ratio of current 30-day skew slope and best ETF 30-day options skew slope.
Skew
Skew Slope (30d)
30d Skew Slope
OptionQuants calculates the best-fit regression line through 30 day options strike volatilities, adjusted to align with the tangent slope at the 50 delta. This slope represents the change in implied volatility for every 10-delta increase in call delta for 30-day options.
LT Skew Slope
Long Term Skew Slope
OptionQuants calculates the best-fit regression line through long term options strike volatilities, adjusted to align with the tangent slope at the 50 delta. This slope represents the change in implied volatility for every 10-delta increase in call delta for long term options.
Fcst Skew Slope (30d)
Forecasted 30d Skew Slope
OptionQuants provides a forecast of the slope of the implied volatility skew for 30-day options, which can be compared to the observed slope.
Fcst LT Skew Slope
Forecasted Long Term Skew Slope
OptionQuants provides a forecast of the slope of the implied volatility skew for long term options, which can be compared to the observed slope.
Skew Slope Deriv (30d)
30d Skew Slope Derivative
OptionQuants calculates the curvature of the 30 day skew slope. This curvature represents the change in slope for every 10-delta increase in the call delta, providing insights into the behavior of option pricing across different strike levels.
LT Skew Slope Deriv
Long Term Skew Slope Derivative
OptionQuants calculates the curvature of the long term skew slope. This curvature represents the change in slope for every 10-delta increase in the call delta, providing insights into the behavior of option pricing across different strike levels.
Fcst Skew Slope Deriv (30d)
Forecasted 30d Skew Slope Derivative
OptionQuants provides a forecast of the slope derivative of the implied volatility skew for 30 day options, which can be compared to the observed slope derivative.
Fcst LT Skew Slope Deriv
Forecasted Long Term Skew Slope Derivative
OptionQuants provides a forecast of the slope derivative of the implied volatility skew for long term options, which can be compared to the observed slope derivative.
Skew Slope Pctl (1y)
1y Skew Slope Percentile
1-year percentile of the 30-day options skew slope.
Avg Skew Slope (1m)
1m Avg Skew Slope
1-month average of 30-day options skew slope.
Avg Skew Slope (1y)
1y Avg Skew Slope
1-year average of 30-day options skew slope.
Stdev Skew Slope (1y)
1y Stdev Skew Slope
1-year standard deviation of 30-day options skew slope.
Fcst Skew Slope (30d)
Forecasted 30-day Skew Slope
The forecasted skew slope for the next 30 days.
Term Structure
Term Slope
Term Structure Slope
Short-term term structure slope of at-the-money implied volatilities ex-earnings.
Underlying
Prior Close
Underlying Prior Close Price
The closing price of the underlying instrument on the previous trading day.
Underlying Px
Underlying Price
The price of the underlying instrument at Datetime.
Px (1w Ago)
Underlying 1w Price
Underlying price at the prior week (5 trading days ago).
Px Chng (1w)
Underlying 1w Price Change
Underlying price change over the prior week (5 trading days).
Px (1m Ago)
Underlying 1m Price
Underlying price at the prior month (21 trading days ago).
Px Chng (1m)
Underlying 1m Price Change
Underlying price change over the prior month (21 trading days).
Px (6m Ago)
Underlying 6m Price
Underlying price at the prior 6 months (126 trading days ago).
Px Chng (6m)
Underlying 6m Price Change
Underlying price change over the prior 6 months (126 trading days).
Px (1y Ago)
Underlying 1y Price
Underlying price at the prior year (252 trading days ago).
Px Chng (1y)
Underlying 1y Price Change
Underlying price change over the prior year (252 trading days).