IV surge report
Liquid contracts whose implied volatility moved at least X % (relative) against the previous session close, both directions, with the session IV range.
Overview
The IV surge report finds liquid contracts whose implied volatility changed sharply against the previous trading session close (or a start date you choose). Rising IV means options got more expensive; falling IV, often after an event, means they got cheaper.
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
- Baseline = previous session close IV, or the Start date with a range.
- IV Δ % = (IV - previous IV) / previous IV; a row qualifies at Implied Volatility Surge % (default 5) up or down.
- Only liquid contracts: (OI >= 100 or volume >= 10) and bid > 0. Sorted by IV Δ %.
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 of this report is open to every plan.
Steps
- Open Research → Reports, choose the Implied Volatility family (or type "IV surge" in Search reports) and open IV surge.
- The report runs straight away with its default filters. The as-of time and delayed label are shown above the grid.
- Enter the Implied Volatility Surge % and, optionally, a Start date and End date.
- 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 (available on every plan for this report).
Report inputs
| Input | What it does |
|---|---|
| Implied Volatility Surge % | Required. Minimum relative IV move up or down. Default 5. |
| Start date / End date | Optional. With a range, the baseline is the Start date. |
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). |
| Prev IV | Implied volatility at the close of the previous trading session (the baseline). |
| IV change (points) | IV minus previous IV, in volatility points (0.05 = 5 points). |
| IV Δ % | Relative IV move: (IV - previous IV) / previous IV. |
| IV surge ratio | IV / previous IV. 1.10 means IV is 10 % higher. |
| IV at session open | The first IV recorded this session. |
| IV session high | The highest IV recorded this session. |
| IV session low | The lowest IV recorded this session. |
| Volume | Contracts traded so far this session (cumulative, as of the snapshot time). |
| OI | Open contracts as of the prior settlement. |
| Bid | Best bid of the latest snapshot. |
| 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
- This is a relative change: IV from 20 % to 25 % is +25 %. For the change in volatility points use IV surge (absolute points).
- IV session high and IV session low show how much IV moved during the session, not only since yesterday.
- A broad IV rise across a symbol's whole chain usually reflects an expected event; a rise at one strike is more specific.
Example
Illustrative only - the symbol and numbers are invented.
XYZ 100 call: Prev IV 30 %, IV 39 %, IV change (points) 9, IV Δ % +30 %, IV surge ratio 1.30, IV at session open 33 %, IV session high 40 %.
Using it in your research
- Spot where the options market started pricing a bigger move.
- Check the bottom of the list after events to see where IV collapsed.
- Save a variant per watchlist and add an alert.
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.
Troubleshooting
A surge report is empty
A surge compares today with the previous trading session close. On the first session after a holiday, or for contracts that are new, there is no baseline, so the contract is left out. Lower the threshold or widen the date range.
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.