ATM Implied Volatility Month 1 (through 4)
At The Money Implied volatility for the first standard expiration (month 1, 2, 3 or 4) of an option contract of a corresponding stock symbol.
2 Year Borrow Rate
Implied hard-to-borrow interest rate at two years to expiration (given options prices put call parity) for a corresponding stock symbol.
A term structure measure which looks at the ratio of the ATM 20 day implied volatility to 30 day implied volatility.
A term structure measure which looks at the ratio of the ATM 30 day implied volatility to 60 day implied volatility.
A term structure measure which looks at the ratio of the ATM 60 day implied volatility to 90 day implied volatility.
90 Day / 6 Month IV
A term structure measure which looks at the ratio of the ATM 90 day implied volatility to 6 month implied volatility.
Implied Volatility[30] - Realized Volatility [n-Day]
A measure of the volatility risk premium of 30 day at the money implied volatility compared to n-day realized volatility.
30 Day Borrow Rate
Implied hard-to-borrow interest rate at 30 days to expiration (given options prices put call parity) for a corresponding stock symbol.
Call Open Interest
Total call open interest for a corresponding stock symbol.
1 Month IV Correlation to Similar ETF
30-day implied volatility ex-earnings correlation with the Best ETF 30-day implied volatility over the last month, for a corresponding stock symbol.
1 Year IV Correlation to Similar ETF
30-day implied volatility ex-earnings correlation with the SPDR Sector ETF 30-day implied volatility over the last year, for a corresponding stock symbol.
1 Month IV Correlation to SPY
30-day implied volatility ex-earnings correlation with SPY over the last month, for a corresponding stock symbol.
1 Year IV Correlation to SPY
30-day implied volatility ex-earnings correlation with SPY over the last year, for a corresponding stock symbol.
Call Option Volume
Today’s call option volume for all strikes for the current trading day, for a corresponding stock symbol.
Pct Move for Earnings Date t-1 (through 12)
The actual earnings move, up or down, following an earnings announcement. A value of "2" would represent the move for the second last earnings announcement.
Earn Straddle Price Pct t-1 (through 12)
Average earnings straddle price as a percent of the stock price at the last (one through twelve) earnings dates.
20-Day Implied Volatility
20-calendar-day ATM interpolated implied volatility for a corresponding symbol.
30-Day Implied Volatility
30-calendar-day ATM interpolated implied volatility for a corresponding symbol.
60-Day Implied Volatility
60-calendar day ATM interpolated implied volatility for a corresponding symbol.
90-Day Implied Volatility
90-calendar day ATM interpolated implied volatility for a corresponding symbol.
6-Month Implied Volatility
6-month ATM interpolated implied volatility for a corresponding stock symbol.
IV to HV Ratio / 1 Month Average
30-day implied volatility with any earnings implied move taken out, divided by the monthly average of the historical volatility of the past 20-days.
IV to HV Ratio / 1 Year Average
30-day implied volatility with any earnings implied move taken out, divided by the yearly average of the historical volatility of the 20-day observations.
Total open interest for all strikes for a corresponding stock symbol.
Total put volume divided by total call volume for a corresponding stock symbol.
Put Open Interest
Total put open interest for a corresponding stock symbol.
Put Option Volume
Today’s put option volume for all strikes for a corresponding stock symbol.
Straddle Price Month 1
Straddle price for month 1 closest to the money strikes for a corresponding stock symbol.
Straddle Price Month 2
Straddle price for month 2 closest to the money strikes for a corresponding stock symbol.
