{"slug":"adjusted-options-after-mergers","qid":"merger_iv_collapse","label":"Near-the-money implied volatility into a cash close (ATVI, 2023)","post_title":"How Options Adjust After Mergers & Spinoffs","post_url":"/blog/adjusted-options-after-mergers#q-merger_iv_collapse","columns":["session_date","session_label","atm_iv_pct","contracts_counted"],"rows":[{"session_date":"2023-06-15","session_label":"June 15, 2023","atm_iv_pct":29.4,"contracts_counted":36},{"session_date":"2023-06-16","session_label":"June 16, 2023","atm_iv_pct":27.8,"contracts_counted":31},{"session_date":"2023-06-20","session_label":"June 20, 2023","atm_iv_pct":32.3,"contracts_counted":32},{"session_date":"2023-06-21","session_label":"June 21, 2023","atm_iv_pct":35.8,"contracts_counted":31},{"session_date":"2023-06-22","session_label":"June 22, 2023","atm_iv_pct":38.1,"contracts_counted":39},{"session_date":"2023-06-23","session_label":"June 23, 2023","atm_iv_pct":38.6,"contracts_counted":28},{"session_date":"2023-06-26","session_label":"June 26, 2023","atm_iv_pct":42,"contracts_counted":32},{"session_date":"2023-06-27","session_label":"June 27, 2023","atm_iv_pct":40.2,"contracts_counted":31},{"session_date":"2023-06-28","session_label":"June 28, 2023","atm_iv_pct":43.6,"contracts_counted":25},{"session_date":"2023-06-29","session_label":"June 29, 2023","atm_iv_pct":41.6,"contracts_counted":35},{"session_date":"2023-06-30","session_label":"June 30, 2023","atm_iv_pct":42.6,"contracts_counted":34},{"session_date":"2023-07-03","session_label":"July 3, 2023","atm_iv_pct":44.2,"contracts_counted":14},{"session_date":"2023-07-05","session_label":"July 5, 2023","atm_iv_pct":47.1,"contracts_counted":31},{"session_date":"2023-07-06","session_label":"July 6, 2023","atm_iv_pct":47.4,"contracts_counted":18},{"session_date":"2023-07-07","session_label":"July 7, 2023","atm_iv_pct":49.1,"contracts_counted":29},{"session_date":"2023-07-10","session_label":"July 10, 2023","atm_iv_pct":44.7,"contracts_counted":15},{"session_date":"2023-07-11","session_label":"July 11, 2023","atm_iv_pct":25,"contracts_counted":47},{"session_date":"2023-07-12","session_label":"July 12, 2023","atm_iv_pct":30.9,"contracts_counted":48},{"session_date":"2023-07-13","session_label":"July 13, 2023","atm_iv_pct":27.6,"contracts_counted":32},{"session_date":"2023-07-14","session_label":"July 14, 2023","atm_iv_pct":19.4,"contracts_counted":23},{"session_date":"2023-07-17","session_label":"July 17, 2023","atm_iv_pct":21.4,"contracts_counted":26},{"session_date":"2023-07-18","session_label":"July 18, 2023","atm_iv_pct":21,"contracts_counted":29},{"session_date":"2023-07-19","session_label":"July 19, 2023","atm_iv_pct":15.5,"contracts_counted":33},{"session_date":"2023-07-20","session_label":"July 20, 2023","atm_iv_pct":15.3,"contracts_counted":28},{"session_date":"2023-07-21","session_label":"July 21, 2023","atm_iv_pct":16.2,"contracts_counted":36},{"session_date":"2023-07-24","session_label":"July 24, 2023","atm_iv_pct":15.2,"contracts_counted":25},{"session_date":"2023-07-25","session_label":"July 25, 2023","atm_iv_pct":15.4,"contracts_counted":25},{"session_date":"2023-07-26","session_label":"July 26, 2023","atm_iv_pct":13.9,"contracts_counted":23},{"session_date":"2023-07-27","session_label":"July 27, 2023","atm_iv_pct":16.4,"contracts_counted":28},{"session_date":"2023-07-28","session_label":"July 28, 2023","atm_iv_pct":14.5,"contracts_counted":28},{"session_date":"2023-07-31","session_label":"July 31, 2023","atm_iv_pct":14.1,"contracts_counted":22},{"session_date":"2023-08-01","session_label":"August 1, 2023","atm_iv_pct":16.8,"contracts_counted":25},{"session_date":"2023-08-02","session_label":"August 2, 2023","atm_iv_pct":17,"contracts_counted":24},{"session_date":"2023-08-03","session_label":"August 3, 2023","atm_iv_pct":16.6,"contracts_counted":24},{"session_date":"2023-08-04","session_label":"August 4, 2023","atm_iv_pct":18,"contracts_counted":25},{"session_date":"2023-08-07","session_label":"August 7, 2023","atm_iv_pct":18.3,"contracts_counted":21},{"session_date":"2023-08-08","session_label":"August 8, 2023","atm_iv_pct":17.5,"contracts_counted":21},{"session_date":"2023-08-09","session_label":"August 9, 2023","atm_iv_pct":19.8,"contracts_counted":29},{"session_date":"2023-08-10","session_label":"August 10, 2023","atm_iv_pct":18.1,"contracts_counted":21},{"session_date":"2023-08-11","session_label":"August 11, 2023","atm_iv_pct":20.3,"contracts_counted":26},{"session_date":"2023-08-14","session_label":"August 14, 2023","atm_iv_pct":20.4,"contracts_counted":18},{"session_date":"2023-08-15","session_label":"August 15, 2023","atm_iv_pct":18.4,"contracts_counted":19},{"session_date":"2023-08-16","session_label":"August 16, 2023","atm_iv_pct":18.4,"contracts_counted":18},{"session_date":"2023-08-17","session_label":"August 17, 2023","atm_iv_pct":19.5,"contracts_counted":23},{"session_date":"2023-08-18","session_label":"August 18, 2023","atm_iv_pct":19.7,"contracts_counted":30},{"session_date":"2023-08-21","session_label":"August 21, 2023","atm_iv_pct":19.6,"contracts_counted":24},{"session_date":"2023-08-22","session_label":"August 22, 2023","atm_iv_pct":12.3,"contracts_counted":32},{"session_date":"2023-08-23","session_label":"August 23, 2023","atm_iv_pct":11.4,"contracts_counted":24},{"session_date":"2023-08-24","session_label":"August 24, 2023","atm_iv_pct":10.8,"contracts_counted":25},{"session_date":"2023-08-25","session_label":"August 25, 2023","atm_iv_pct":11.5,"contracts_counted":26},{"session_date":"2023-08-28","session_label":"August 28, 2023","atm_iv_pct":10.9,"contracts_counted":14},{"session_date":"2023-08-29","session_label":"August 29, 2023","atm_iv_pct":12.1,"contracts_counted":16},{"session_date":"2023-08-30","session_label":"August 30, 2023","atm_iv_pct":11.9,"contracts_counted":12},{"session_date":"2023-08-31","session_label":"August 31, 2023","atm_iv_pct":12.1,"contracts_counted":15},{"session_date":"2023-09-01","session_label":"September 1, 2023","atm_iv_pct":12.9,"contracts_counted":18},{"session_date":"2023-09-05","session_label":"September 5, 2023","atm_iv_pct":14.4,"contracts_counted":26},{"session_date":"2023-09-06","session_label":"September 6, 2023","atm_iv_pct":14.4,"contracts_counted":19},{"session_date":"2023-09-07","session_label":"September 7, 2023","atm_iv_pct":14.2,"contracts_counted":20},{"session_date":"2023-09-08","session_label":"September 8, 2023","atm_iv_pct":14.5,"contracts_counted":29},{"session_date":"2023-09-11","session_label":"September 11, 2023","atm_iv_pct":13.8,"contracts_counted":19},{"session_date":"2023-09-12","session_label":"September 12, 2023","atm_iv_pct":14.9,"contracts_counted":18},{"session_date":"2023-09-13","session_label":"September 13, 2023","atm_iv_pct":15,"contracts_counted":21},{"session_date":"2023-09-14","session_label":"September 14, 2023","atm_iv_pct":15.2,"contracts_counted":19},{"session_date":"2023-09-15","session_label":"September 15, 2023","atm_iv_pct":16.9,"contracts_counted":24},{"session_date":"2023-09-18","session_label":"September 18, 2023","atm_iv_pct":18.8,"contracts_counted":22},{"session_date":"2023-09-19","session_label":"September 19, 2023","atm_iv_pct":18.7,"contracts_counted":27},{"session_date":"2023-09-20","session_label":"September 20, 2023","atm_iv_pct":17.6,"contracts_counted":24},{"session_date":"2023-09-21","session_label":"September 21, 2023","atm_iv_pct":15.8,"contracts_counted":21},{"session_date":"2023-09-22","session_label":"September 22, 2023","atm_iv_pct":10.2,"contracts_counted":44},{"session_date":"2023-09-25","session_label":"September 25, 2023","atm_iv_pct":10,"contracts_counted":25},{"session_date":"2023-09-26","session_label":"September 26, 2023","atm_iv_pct":10.3,"contracts_counted":15},{"session_date":"2023-09-27","session_label":"September 27, 2023","atm_iv_pct":10.9,"contracts_counted":19},{"session_date":"2023-09-28","session_label":"September 28, 2023","atm_iv_pct":13.3,"contracts_counted":26},{"session_date":"2023-09-29","session_label":"September 29, 2023","atm_iv_pct":13.7,"contracts_counted":20},{"session_date":"2023-10-02","session_label":"October 2, 2023","atm_iv_pct":10.8,"contracts_counted":8},{"session_date":"2023-10-03","session_label":"October 3, 2023","atm_iv_pct":10.5,"contracts_counted":13},{"session_date":"2023-10-04","session_label":"October 4, 2023","atm_iv_pct":9.5,"contracts_counted":15},{"session_date":"2023-10-05","session_label":"October 5, 2023","atm_iv_pct":10.9,"contracts_counted":13},{"session_date":"2023-10-06","session_label":"October 6, 2023","atm_iv_pct":10.3,"contracts_counted":16},{"session_date":"2023-10-09","session_label":"October 9, 2023","atm_iv_pct":6.9,"contracts_counted":11},{"session_date":"2023-10-10","session_label":"October 10, 2023","atm_iv_pct":7.6,"contracts_counted":11},{"session_date":"2023-10-11","session_label":"October 11, 2023","atm_iv_pct":6.8,"contracts_counted":12},{"session_date":"2023-10-12","session_label":"October 12, 2023","atm_iv_pct":7.1,"contracts_counted":9}],"shape":"series","sql":"SELECT\n    toString(date)                                                             AS session_date,\n    concat(monthName(toDate(date)), ' ', toString(toDayOfMonth(toDate(date))),\n           ', ', toString(toYear(toDate(date))))                              AS session_label,\n    round(100 * avg(implied_volatility), 1)                                    AS atm_iv_pct,\n    uniqExact(ticker)                                                          AS contracts_counted\nFROM global_markets.options_greeks\nWHERE underlying_symbol = 'ATVI'\n  AND date BETWEEN '2023-06-15' AND '2023-10-20'\n  AND iv_converged = 1\n  AND volume > 0\n  AND days_to_expiry BETWEEN 20 AND 45\n  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05\nGROUP BY date\nORDER BY date","computed_at":"2026-08-09T14:43:20.829089+00:00","elapsed":0.003093528}