Implied volatility report
Live option contracts ranked by implied volatility, with an optional IV band, IV rank, volume, open interest, premium and Greeks.
Overview
The Implied volatility report ranks live contracts (volume or open interest greater than 0) by implied volatility - the volatility the option's price implies. High IV means the market is pricing a large move or paying up for protection.
The data delay depends on your plan and is shown on every view: the as-of time and the delayed label sit above the results. On the Free plan reports show the previous session.
How the report is built
- Live contracts only; contracts without an IV are left out rather than ranked as 0.
- Sorted by IV, then volume, then strike. Top 5 per symbol when every symbol is selected.
- Add an IV band (minimum and maximum, in percent) to narrow the list.
Before you start
Any signed-in plan can open the report from Research → Reports. Your plan decides how fresh the data is and how much history you can read. CSV export needs a plan that includes it.
Steps
- Open Research → Reports, choose the Implied Volatility family (or type "Implied volatility" in Search reports) and open Implied volatility.
- The report runs straight away with its default filters. The as-of time and delayed label are shown above the grid.
- Change any filter (for example pick one symbol) and press Run to refresh the grid.
- Choose Save as screen to keep your variant under Research → Saved Screens, where you can schedule it or turn it into an alert.
- Use Export CSV to download the rows (plans with CSV export).
Columns and metrics
| Column | What it means |
|---|---|
| Symbol | The underlying stock or ETF. |
| Expiration | The contract expiration date. |
| Strike | The strike price of the contract. |
| C/P | Call or put. |
| IV | Implied volatility, annualised. Shown as a percentage (0.35 is stored, 35 % is displayed). |
| IV Rank | Where today's IV sits in its 52-week range (0 = lowest, 1 = highest). Shows "-" until a year of history exists. |
| Volume | Contracts traded so far this session (cumulative, as of the snapshot time). |
| OI | Open contracts as of the prior settlement. |
| OI Δ | Open interest minus the previous session's open interest, in contracts. |
| OI Δ % | (OI - previous OI) / previous OI. |
| Mark | Bid/ask midpoint, per share. This is the premium the reports use. |
| Premium | Mark x 100: the price of one standard contract in USD. |
| Break-even | Per share: strike + mark for a call, strike - mark for a put. The price the stock must reach at expiry for a buyer to break even. |
| Und. Price | The latest price of the underlying stock. |
| Delta | How much the option price moves for a $1 move in the stock (calls 0 to 1, puts 0 to -1). |
| Gamma | How fast delta changes for a $1 move in the stock. |
| Theta | Time decay per calendar day, per share. Negative for a long option. |
| Vega | Price change for a 1-point change in implied volatility. |
| Rho | Price change for a 1-point change in interest rates. |
| Extracted | When the snapshot behind the row was captured (US Eastern). |
| ITM/ATM/OTM | In, at or out of the money, worked out from the strike against the stock price. |
Percentages are stored as fractions and displayed as percentages (0.05 is shown as 5 %). An unknown value shows as "-", never as 0.
How to read it
- Compare IV between strikes and expirations of the same symbol: short-dated contracts before an event often carry the highest IV.
- IV Rank shows whether today's IV is high or low for this symbol over a year (it shows "-" until a year of history exists).
- Deep out-of-the-money contracts with tiny premiums can show extreme IVs; check Volume and OI before reading too much into them.
Example
Illustrative only - the symbol and numbers are invented.
XYZ 22 November 110 call: IV 85 %, IV Rank 0.92, Volume 3,000, OI 7,500, Mark 1.20, Break-even 111.20, Und. Price $100. Reading: IV is near the top of its one-year range, so options on XYZ are expensive relative to their own history.
Using it in your research
- Find the chains where the options market expects the largest moves.
- Pair with IV surge to see whether high IV is new or long-standing.
- Use the IV band to separate moderately elevated IV from extreme readings.
Treat every row as a starting point for your own research, not as a signal. Volume and open interest never say whether a trade was a buy or a sell.
FAQs
Why do I see only five contracts per symbol?
With every symbol selected the report keeps the top 5 contracts of each symbol so one busy chain does not fill the page. Pick a single symbol to list every contract of that symbol.
Troubleshooting
IV Rank shows "-"
IV rank needs a year of daily history for the symbol. Until then it is unknown, not 0.
The report shows "No Records Found"
The filters may be too narrow for the session, or the session has only just opened. Widen a threshold, clear the symbol, or check the as-of time to see which session you are reading. On the Free plan you read the previous session.