IV surge (absolute points) report
Liquid contracts whose implied volatility moved at least 5 volatility points against the previous session close.
Overview
The IV surge (absolute points) report measures IV moves in volatility points instead of percent. A 5 % relative move (30 % to 31.5 %) is tiny; a 5-point move (30 % to 35 %) is meaningful, which makes this the more useful surge view for most research.
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
- IV change (points) = IV - previous IV. A row qualifies at +5 points or more, or -5 points or less.
- Liquid contracts only. Sorted by IV change, largest rise first.
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 "IV surge (absolute points)" in Search reports) and open IV surge (absolute points).
- 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). |
| 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
- IV change (points) 0.08 means IV rose 8 points (for example 30 % to 38 %).
- Use IV Δ % next to it to compare across symbols with very different IV levels.
Example
Illustrative only - the symbol and numbers are invented.
XYZ 105 call: Prev IV 32 %, IV 41 %, IV change (points) 9, IV Δ % +28 %.
Using it in your research
- Find where option pricing changed materially in one session.
- Compare with the stock's Change %: IV rising while the stock falls is a common pattern; IV rising on a calm day deserves a closer look.
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.