IV rank and the historical move
Where today's 30-day implied volatility sits in its own range, how IV rank and IV percentile differ, and how far the stock has really moved over the time to an expiration.
/SPX/volatility answers two questions a premium seller asks before picking a strike: are options expensive for this stock right now, and how far does it usually move in the time I'd be short?
The 30-day IV
Every number on the IV rank panel starts from the 30-day IV: at-the-money implied volatility at a constant 30 days. It takes the at-the-money IV of the expirations either side of 30 days and blends them by time, so it means the same thing every day even as expirations come and go. The readout names the two expirations it used.
IV rank and IV percentile
Over the lookback you pick (1M, 3M, 6M, 1Y, 2Y):
- IV rank = (today − the low) ÷ (the high − the low) × 100. 0 is the lookback's low, 100 its high.
- IV percentile: the share of earlier sessions in the lookback with a 30-day IV below today's. A new high reads 100.
They disagree when one spike stretches the range. A stock that sat between 25% and 35% all year and spiked to 120% once has a low IV rank at 34% even though IV is near the top of its usual range; the percentile shows that. When they disagree sharply, the percentile is usually the better read.
The regime bands the rank: under 20 low, 20 to 50 mid-range, 50 to 80 elevated, 80 and above high. It's a description, not a signal.
IV against realized volatility
IV − HV is the 30-day IV minus HV20, the stock's realized volatility over the last 20 sessions, in volatility points. Positive means options price more movement than the stock has been delivering, which is what premium sellers are paid for. A high IV rank alongside equally high realized volatility is less of an edge than it looks.
The chart
The history draws the 30-day IV (indigo) and HV20 (grey) one point per session, with the lookback's high and low as dashed rules and today's value tagged on the axis. A session where the day's figure is clearly bad (under half or over double both neighbours) is left as a gap and named under the chart, so one broken day doesn't set the range.
The first time a ticker is opened its two years of history fill in over a few minutes, and the page says how long. A stock with a short history says how many sessions the lookback holds.
The historical move
The historical move (HIST 1σ) is how far the stock has typically moved: the standard deviation of the last year's daily returns, scaled by the square root of the sessions left to the expiration you pick. It's shown as a percent each way and as prices around spot.
Beside it is the IV move to the same expiration (the expected move). When the IV move is wider than the historical move, options are pricing more movement than the stock's recent past would suggest.
Below, a histogram shows every move over the same number of sessions across the last year, down moves red and up moves green, with the average and ±1σ marked. Count the bars past a strike's distance and you have its breach rate, which the strike selector and wheel and income use.
The historical move needs at least 60 daily returns; a newer listing says how many it has.
Free opens SPX, SPY, QQQ, and IWM. Pro opens any ticker. Both panels can also be added to the overview.