AVGO at-the-money implied volatility, daily, around the June 2026 report

Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-08-18, from What Is IV Crush? Measured on Real Earnings.

Rows × columns

15 × 3

Period covered

2026-05-22 to 2026-06-12

Computed

2026-08-18

Completeness

No missing values

Source

US exchange, SIP and OPRA market data

Licence

Strasmore terms · free, no signup

Formats

JSON · CSV · the SQL below

What each column holds

Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on 2026-08-18, and the query below is what returned them.

SELECT toString(date) AS session_date,
       round(100 * quantileExact(0.5)(implied_volatility), 1) AS atm_iv_pct,
       sum(volume) AS contracts_traded
FROM global_markets.options_greeks
WHERE underlying_symbol = 'AVGO'
  AND date BETWEEN toDate('2026-05-22') AND toDate('2026-06-12')
  AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
  AND abs(strike_price / underlying_close - 1) <= 0.05
  AND expiration_date BETWEEN date + 7 AND date + 60
GROUP BY date
ORDER BY date