In this free source of volatility data,

there is a column Days/Percentile. How to interpret this? It says:

 Days:the number of days back for which implied volatility has been calculated
  Percentile: measurement of the cur_iv, as compared to the past Days

But IV is calculated based on the at the money option price for the underlying that is expiring in the near month. In this calculation, we consider the Days to Expiry, not the number of Days 'back'? So what does it mean when they say:

the number of days **back** for which implied volatility has been calculated

1 Answer 1


There's an explanation of what that means a few lines farther down that page:

So if the last two numbers are 597/ 87%ile, that means that
of the last 597 daily implied volatility readings, the
the current daily reading is higher than 87% of them

It looks like they keep a record of ~600 days of their previous implied volatility calculations, but some symbols might not have that much valid data. So when they report the current IV as a percentile of all those previous IVs, they want you to know exactly how reliable that measurement is.

If they only have 30 days of past IV calculations, then the percentile doesn't mean all that much. On the other hand, if they have 600 days of past IV calculations, then the current percentile is pretty significant.

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