Implied-Volatility Premium Data Across Stocks

Compare roughly 30-day implied and realized volatility across optionable stocks using spreads, ratios, and daily ranks, while treating today's values as provisional until settled.

Implied-volatility premium data across stocks can answer where option prices are rich relative to each underlying's recent realized movement. Alphanume's IV/HV Premium dataset pairs roughly 30-day at-the-money implied volatility with 30-trading-day historical volatility. It serves the difference, ratio, cross-sectional ranks, z-scores, option notional-volume context, and the expiry, strike, and spot used in the IV calculation.

The IV/HV Premium documentation defines the fields and intraday finality flag. Alphanume's proof material provides broader methodology context. A high premium is not automatically mispricing. Earnings, litigation, FDA events, mergers, and other jump risks can make a rich option rational.

Choose spread, ratio, or rank deliberately

The spread is implied volatility minus historical volatility. The ratio is implied divided by historical. They answer related but different questions. A ten-point spread has different proportional meaning when historical volatility is fifteen than when it is eighty. The ratio can become unstable when realized volatility is very low.

Cross-sectional ranks and z-scores are calculated within that day's universe. They are not a ticker's own trailing-year IV rank. Use the raw values when comparing across time and the daily ranks when selecting relative extremes on the same date.

Retrieve a settled cross-section

For historical research, use only_final=true and a completed date. Retrieve the settled cross-section, rank it primarily by the absolute spread, and use the ratio and daily ranks as context. Preserve raw IV and HV beside every rank so the economics and any low-HV denominator effect remain inspectable.

GET /v1/iv-hv-premium
date=<completed trading date>
only_final=true

retain ticker, iv, hv, iv_hv_spread, iv_hv_ratio,
       iv_hv_spread_ranked, iv_hv_ratio_ranked,
       notional_volume, notional_volume_ranked,
       days_to_exp, exp_date, atm_strike, spot, is_final

Sort the returned rows by iv_hv_spread descending. Then mark which top-spread names also fall in the upper ratio-rank tail. That overlap distinguishes stocks that are rich in absolute volatility points from stocks that look rich mainly because recent realized volatility is low.

Today's row updates intraday and carries is_final=0 until it settles after the close. A screen captured at noon can differ from the settled version. Store last_updated and finality if reproducing an intraday decision. For end-of-day research, prohibit provisional rows.

Explain why rich can be rational

Implied volatility is forward-looking, while the historical measure summarizes the prior thirty trading days. A high ratio can indicate an expected event, a structural jump-risk premium, low recent realized volatility, or transient option demand. Before selling the richest names, join a point-in-time event calendar and inspect the contract context.

• Separate earnings and other scheduled-event windows.
• Require sufficient notional-volume context before assuming tradability.
• Inspect the selected expiry and ATM strike rather than treating IV as generic.
• Report spread and ratio results because their rankings can disagree.

Notional volume is based on the underlying volume and VWAP and is a liquidity reference, not an option quote or executable capacity measure. A trade simulation still needs contemporaneous bid, ask, size, and contract data.

Control provisional, event, and denominator risk

The main data failure is mixing provisional intraday rows with settled historical rows. The main interpretation failure is calling every high premium overpriced. Another issue is ratio inflation when HV is unusually small. Add an HV floor or report the denominator distribution under a prespecified rule.

Ranks depend on the available universe that day. Changes in optionable coverage can move a percentile even when a ticker's raw values do not change. Preserve both raw and ranked measures and report cross-sectional counts when comparing dates.

Expiry selection matters because the IV uses the option nearest the documented roughly 30-day target, not an abstract constant-maturity surface. Retain days_to_exp, exp_date, atm_strike, and spot. Calendar structure can cause days to expiry to vary across names and dates. If a comparison requires a tighter maturity band, impose it before reviewing performance and disclose the number of rows removed.

Historical volatility is backward-looking and can fall after an unusually quiet month. The ratio may then rise even if implied volatility is unremarkable in absolute terms. Examine IV rank, HV rank, spread, and ratio together. A screen that uses only the ratio can select calm-underlying effects rather than unusually expensive option pricing.

Record the number of names in each daily cross-section and the share passing any liquidity rule. This context helps distinguish a real change in relative premium from a changing comparison universe.

Create one auditable premium screen

As a concrete next action, request a completed date with only_final=true and rank the cross-section by iv_hv_spread. Export the top names with IV, HV, both premiums, both ranks, notional-volume rank, expiry, and ATM strike. Mark overlap with the upper ratio-rank tail, flag known event dates, and review several contract observations in a quote source. The result is a transparent spread-led comparison, not an unsupported claim that rich options must fall.