ORATS most popular IV data point is our interpolated implied volatility reading. It is also called a constant maturity implied volatility. We show 10, 20, 30, 60, 90, 180 and 365 calendar day interpolations both with and without earnings effects taken out.

We calculate these by finding the two expirations around the constant maturity days and taking a weighted average of the two at the money implied volatilities.

Let's take an example of the 60 day ex-earnings interpolated implied volatility = 55.5% for TSLA on 1/4/2019.

 

TSLAinterpolations

 

The 2/22/2019 expiration has 50 days and 3/15/2019 has 71 days to expiration.

We use square roots of time so the total difference from the sqrt of 60 days or 7.7 is 1.35 = Abs(60days ^ 0.5 - 51days ^ 0.5) + Abs(60days ^ 0.5 - 71days ^ 0.5)

We use the 50 delta implied volatility less the earnings effect for the month weighted to find the 60 day ex-earn implied.

55.5 = (1.35 - Abs(60days ^ 0.5 - 51days ^ 0.5)) / 1.35 * (59.4 - 4.3) + Abs(60days ^ 0.5 - 51days ^ 0.5) / 1.35 * (58.9 - 2.9)

Note that if there was not an earnings effect for a month, the formula would use the 50 delta implied volatility less the earnings effect of zero. Here's how we remove earnings from implied volatility.

Still have questions on how interpolated implied volatility works? Here's a video to help explain this further:

related posts

Backtester Upgrade: Signals & Stats
May
14
Volatility, Backtesting, Options Signals, options trading, put spread, vertical

Backtester Upgrade: Signals & Stats

We continue to release upgrades to the backtester. Last month we added stock-only...

Read Post
List of Currency ETFs and ETNs with Options Traded
May
13
Markets, Data, options trading, options, currency options

List of Currency ETFs and ETNs with Options Traded

Currency exchange-traded funds (ETFs) and exchange-traded notes (ETNs) with listed US options...

Read Post

We're here, if you need us.

Still curious how we can help you?




LET'S CHAT