TRAI quant day-trading research

Options-implied volatility

What is the options market pricing? 30-day at-the-money implied vol (IV30) per name, compared with realized vol over the last 20 sessions (the volatility risk premium), and the move priced into the next earnings report.

Computed: Nov 6, 2026, 4:15 PM ET · Data through: 2026-11-06
Source: Yahoo Finance public options endpoint (v7/finance/options) via anonymous cookie+crumb session; Yahoo chart API for realized vol and ^IRX.

Quotes were captured outside regular trading hours — bid/ask midpoints may be stale or wide. The scheduled run is at ~3:30 PM ET.

SPY IV30 (ATM)
20.5%
vs RV20 20.2%
SPY vol risk premium
0.3 pts
IV/RV 1.01
Median single-name VRP
-2.9 pts
36% of names have IV > RV
Risk-free rate used
4.00%
13-week T-bill (^IRX)

Implied moves into earnings (35)

Straddle price / spot at the first expiry after the report = the move the market is pricing through that expiry. Compare with the stock's average absolute earnings gap from the event study: ratio > 1 means options price a bigger move than recent history.

35 rows · click headers to sort
TickerReport ▲Expiry usedDTEImplied moveHist. avg |gap|Implied / hist.
MRNA2026-11-062026-11-136.911.3%3.3%3.43
VST2026-11-062026-11-136.96.7%1.5%4.52
BRK-B2026-11-072026-11-136.93.3%0.7%4.58
TTD2026-11-092026-11-136.916.5%13.6%1.22
KKR2026-11-092026-11-136.95.7%2.3%2.47
HIMS2026-11-092026-11-136.915.8%6.9%2.31
OXY2026-11-092026-11-136.95.4%4.6%1.18
CEG2026-11-092026-11-136.97.3%3.6%2.04
MARA2026-11-092026-11-136.914.8%6.1%2.41
AMAT2026-11-122026-11-136.910.9%7.3%1.49
CSCO2026-11-122026-11-136.99.8%8.9%1.10
NVDA2026-11-172026-11-2013.911.2%3.1%3.57
DIS2026-11-172026-11-2013.96.7%6.1%1.10
HD2026-11-172026-11-2013.96.6%2.8%2.36
PANW2026-11-182026-11-2013.913.5%4.5%3.00
LOW2026-11-182026-11-2013.97.0%3.0%2.35
TJX2026-11-182026-11-2013.96.8%2.3%2.89
TGT2026-11-182026-11-2013.99.7%3.4%2.87
INTU2026-11-192026-11-2013.911.5%8.9%1.29
WMT2026-11-192026-11-2013.97.4%4.2%1.78
WDAY2026-11-242026-11-2720.912.1%5.8%2.09
DELL2026-11-242026-11-2720.919.9%14.9%1.33
HPQ2026-11-242026-11-2720.912.4%3.9%3.21
DE2026-11-252026-11-2720.98.8%4.7%1.90
MRVL2026-12-012026-12-0427.919.6%6.6%2.98
CRWD2026-12-012026-12-0427.916.2%6.2%2.61
CRM2026-12-022026-12-0427.911.7%4.3%2.73
SNOW2026-12-022026-12-0427.917.9%18.0%1.00
ZS2026-12-022026-12-0427.919.5%13.1%1.49
AVGO2026-12-092026-12-1134.915.0%7.3%2.04
ADBE2026-12-092026-12-1134.912.9%4.6%2.81
LULU2026-12-102026-12-1134.914.2%10.3%1.38
COST2026-12-102026-12-1134.97.3%0.9%8.07
ORCL2026-12-142026-12-1841.919.3%11.0%1.75
NKE2026-12-172026-12-1841.912.2%7.5%1.64

When the expiry is many days after the report, the straddle also prices ordinary non-earnings variance, overstating the pure event move.

IV vs realized vol — all names

157 rows · click headers to sort
TickerSpotIV30RV20VRP (IV−RV) ▼IV/RVTerm slopeATM bid/ask %Next earnings
TTD12.9388.7%53.6%+35.17%1.66—26.7%2026-11-09
DE671.6545.0%23.6%+21.39%1.91-1.46%21.3%2026-11-25
WDAY192.9058.8%37.9%+20.92%1.55—34.7%2026-11-24
ZS197.6686.7%67.5%+19.22%1.28-4.09%14.3%2026-12-02
SNOW275.8878.4%61.3%+17.05%1.28-2.94%7.6%2026-12-02
INTU341.5061.8%45.9%+15.85%1.34—14.9%2026-11-19
CRM213.6552.2%37.5%+14.72%1.39-1.57%17.3%2026-12-02
HIMS26.0094.4%79.7%+14.67%1.18-2.05%15.3%2026-11-09
CSCO93.8553.5%38.9%+14.64%1.38-3.89%28.9%2026-11-12
DIS116.7534.8%22.2%+12.57%1.57—21.1%2026-11-17
TGT158.3649.0%37.1%+11.92%1.32—8.9%2026-11-18
NVDA186.6458.1%47.8%+10.27%1.21-2.21%2.7%2026-11-17
MARA6.35109.4%100.0%+9.49%1.09-2.64%1.3%2026-11-09
CRWD216.9073.8%64.6%+9.14%1.14-0.04%24.0%2026-12-01
IBM245.0035.8%27.6%+8.21%1.30+2.30%10.2%—
COF201.8733.0%24.8%+8.21%1.33-0.98%24.5%—
WMT125.5235.8%28.2%+7.64%1.27-1.73%11.4%2026-11-19
PANW313.8470.6%63.0%+7.60%1.12-1.72%12.4%2026-11-18
HPQ28.4664.8%57.8%+6.96%1.12+2.74%28.7%2026-11-24
NKE38.5941.9%35.9%+6.02%1.17-1.36%13.3%2026-12-17
ON63.3169.3%63.7%+5.57%1.09+3.09%23.4%—
PYPL59.2431.3%25.7%+5.55%1.22-0.24%22.0%—
OXY56.3838.7%33.4%+5.32%1.16-0.20%13.4%2026-11-09
FCX59.4249.5%44.4%+5.15%1.12-3.48%22.1%—
F12.4434.6%29.6%+5.04%1.17-1.42%14.2%—
ADBE239.3046.0%41.1%+4.91%1.12+8.28%54.9%2026-12-09
LIN515.2522.4%17.6%+4.73%1.27+0.25%46.3%—
UBER68.5935.1%31.2%+3.90%1.13+0.90%9.5%—
CEG249.9552.7%49.7%+2.98%1.06-1.87%29.0%2026-11-09
TMO694.7633.4%30.6%+2.83%1.09—31.9%—
HAL31.8437.1%34.3%+2.82%1.08+0.71%25.5%—
UNH394.1533.2%30.4%+2.79%1.09+1.78%15.0%—
LULU110.7951.8%49.2%+2.65%1.05+9.58%21.1%2026-12-10
CVX212.6630.9%28.5%+2.39%1.08-1.04%13.0%—
MPC372.7452.2%49.9%+2.24%1.04-5.26%14.2%—
BRK-B570.8921.6%19.4%+2.19%1.11-0.18%23.3%2026-11-07
HON220.0530.8%28.7%+2.10%1.07—60.6%—
AXP320.9928.4%26.5%+1.97%1.07+0.95%15.1%—
SCHW91.4928.0%26.4%+1.61%1.06—19.2%—
META610.1542.4%41.0%+1.44%1.04-0.20%3.4%—
MDLZ66.0232.5%31.1%+1.36%1.04—124.8%—
ABBV291.3127.7%26.4%+1.31%1.05+0.86%29.5%—
SLB49.9237.2%36.1%+1.18%1.03—19.5%—
WFC83.9428.1%27.0%+1.16%1.04—16.9%—
TJX135.3034.8%33.8%+1.03%1.03—36.1%2026-11-18
GS865.8236.7%35.7%+0.97%1.03-1.04%17.8%—
VRTX547.0937.7%36.9%+0.86%1.02—30.4%—
NVO40.3132.8%32.0%+0.78%1.02+0.46%8.6%—
AAPL342.3726.4%25.6%+0.76%1.03-0.39%9.9%—
KKR96.4842.1%41.6%+0.47%1.01—32.7%2026-11-09

IV backed out with Black-Scholes (no dividends) from the bid/ask midpoint of the ATM call and put; IV30 = variance-interpolated between the expiries bracketing 30 calendar days (nearest ≥7 DTE). Risk-free rate = 13-week T-bill (^IRX). Screening/research, not investment advice.