Implied Volatility Indexes

After clicking on the Volatility icon in the Barchart for Excel ribbon, a dialogue will will display with various types of IV charts available. The first option is Implied Volatility Indexes.

Enter in a US or Canadian equity ticker or index symbol in the search for symbol box or used the symbol browser tree to search for your desired instrument. Note, IV Index data is only available for US and Canadian stocks and indexes that have listed options. Once the underlying is selected you will see the ticker display in the right side of the dialogue. To remove the symbol, simply click the 'x' to the right of the ticker.

(Tip: When using the symbol tree, the Stocks → By Exchange branch has ‘Options’ leaves that only displaying underlying securities that have listed options)

Now you can opt to plot the IV Index by either the maturity or the expiration via the tabs found below.

By Maturity

Using ‘By Maturity’, you can click on any or all of the periods to plot the IV of that constant maturity (90 Day IV, for example, queries the underlying's rolling IV over the next 90 days). A 90 Day IV of 70.12 means that option prices over the next 90 days are implying a volatility of 70.12% for that instrument.

By Expiration

Using ‘By Expiration’, you can select one, multiple or all expirations for an underlying using by clicking on the Expirations drop down in the dialogue.

Click the ‘All' option to select all active expirations, click ‘Monthly’ to quickly select all standard monthly expirations, click ‘Weekly’ to select all weekly expirations and use ‘Clear’ to uncheck all selections and start over. As an example, a TSLA 9/16/2022 IV Index reading of 57.65 means that the market is currently inferring a volatility level of 57.65% for options that expire on September 16th of 2022.

Historical Volatility

Once the IV index is selected, you can also apply a historical volatility using various periods.

Historical volatility is the actual volatility experienced by the underlying stock over a previous time period, while implied volatility is often used as a measure of current market volatility expectations. When historical volatility is high, the underlying has usually undergone a period of extreme price fluctuation. When historical volatility is low, it suggests there have been less fluctuation in prices and usually exabit a narrow ‘sideways’ price action.

Delta

While delta can be defined in several different ways, it is essential a measurement of an option’s sensitivity to a given one point price change in an underlying asset. A 50 delta indicates the option will move up or down by one half point for each one point increase or decrease in the underlying stock. Calls have positive delta and puts have negative delta. The default for both ‘By Maturity’ and ‘By Expiration’ are set to the 50 delta, which generally implies the ‘at the money’ IV index average of both the call and put. Use the Delta drop down to select any delta from 5 to 95

Plot Volume

Click the ‘Plot Underlier Options Volume’ box to include the total volume for all option contracts across all expiration dates traded during the session.

Insert Chart

Once all selections have made click the Insert button and view the IV Index chart in your worksheet.

Volatility Forecasting

One of the most important characteristics of volatility is that it exhibits a mean reverting behavior, meaning both implied and historical volatility tend to return to normalized levels after reaching either high or low extremes. Market participants can look to sell option premium when volatility appears ‘expensive’ and look to purchase volatility when it appears ‘cheap’. Using the IV index charts can make finding these levels of extreme volatility readings easier to pinpoint, particularly when viewing an IV index and HV level with identical periods or terms.