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Expected Move From Implied Volatility
NVDA after its late-May 2023 report: implied volatility and where the stock wentseries · 2026-08-22 · 12×6Preview: a 12-point series, ending higher. Apple: implied volatility and the expected move at six horizons, one sessiontable · 2026-08-22 · 6×7 Implied vs realized: median 30-day expected move and what six stocks did nexttable · 2026-08-22 · 6×5
Implied Volatility vs Vega: The Difference
Where vega peaks: AAPL vega and IV across strikes, 20 to 45 days out (July 2026)ranking · 2026-08-13 · 12×4Preview: 12 ranked values, largest first. Same underlying, same IV, rising vega: AAPL by days to expiry (July 2026)ranking · 2026-08-13 · 14×4Preview: 14 ranked values, largest first. Contract days behind the weekly IV series, by monthseries · 2026-08-13 · 12×5Preview: a 12-point series, ending higher. One input, three levels: weekly average IV for AAPL, NVDA and KO (20 to 45 days out)series · 2026-08-13 · 53×5Preview: a 16-point series, ending higher.
NVDA after its late-May 2023 report: implied volatility and where the stock went

NVDA after its late-May 2023 report: implied volatility and where the stock went

most recentas of series 12×6read in context →
NVDA after its late-May 2023 report: implied volatility and where the stock went — 12 rows by 6 columns, computed from US exchange, SIP and OPRA data.
datesession_labeliv_pctexpected_move_pctiv_pct_of_report_daymove_from_report_day_pct
2023-05-24May 24115.130.541000
2023-05-25May 2549.414.4842.9-0.7
2023-05-26May 2646.213.4140.12.53
2023-05-30May 3048.814.2342.44.57
2023-05-31May 3146.613.3540.4-0.16
2023-06-01Jun 146.413.8540.34.99
2023-06-02Jun 242.612.57373.06
2023-06-05Jun 541.412.44362.47
2023-06-06Jun 639.212.24341.92
2023-06-07Jun 738.811.9533.7-0.74
2023-06-08Jun 839.411.9434.21.54
2023-06-09Jun 939.211.5234.11.71
the exact SQL behind every number 
WITH
    (SELECT avg(toFloat64(implied_volatility))
     FROM global_markets.options_greeks
     WHERE underlying_symbol = 'NVDA'
       AND date = toDate('2023-05-24')
       AND iv_converged = 1
       AND volume > 0
       AND days_to_expiry BETWEEN 20 AND 45
       AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05) AS iv_report_day,
    (SELECT avg(toFloat64(underlying_close))
     FROM global_markets.options_greeks
     WHERE underlying_symbol = 'NVDA'
       AND date = toDate('2023-05-24')
       AND iv_converged = 1
       AND volume > 0
       AND days_to_expiry BETWEEN 20 AND 45
       AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05) AS px_report_day
SELECT date,
       formatDateTime(date, '%b %e') AS session_label,
       round(100 * avg(toFloat64(implied_volatility)), 1) AS iv_pct,
       round(100 * avg(toFloat64(implied_volatility)) * sqrt(avg(days_to_expiry) / 365), 2) AS expected_move_pct,
       round(100 * avg(toFloat64(implied_volatility)) / iv_report_day, 1) AS iv_pct_of_report_day,
       round(100 * (avg(toFloat64(underlying_close)) / px_report_day - 1), 2) AS move_from_report_day_pct
FROM global_markets.options_greeks
WHERE underlying_symbol = 'NVDA'
  AND date BETWEEN toDate('2023-05-24') AND toDate('2023-06-09')
  AND iv_converged = 1
  AND volume > 0
  AND days_to_expiry BETWEEN 20 AND 45
  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
GROUP BY date
HAVING count() >= 3
ORDER BY date
More from this analysisExpected Move From Implied Volatility
Apple: implied volatility and the expected move at six horizons, one session table 6×7 → Implied vs realized: median 30-day expected move and what six stocks did next table 6×5 → One input, three levels: weekly average IV for AAPL, NVDA and KO (20 to 45 days out) series 53×5 → NVDA front band vs 91-180 day band: median near-the-money IV per session, Feb 10 to Mar 14, 2025 series 24×4 → See all 2,170 queries →
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