Accuracy of IV for Expected Move (for CALLS only)

M

MoneyMatthew

So if you were to calculate the expected move UP for any given stock based on its current annualized implied volatility what would the accuracy be in general? Generally speaking you would expect upward price moves to stay within 1 stdev of the annualized IV 34.1% of the time. About 68% of the time UP and DOWN total but I am not concerned with the PUTs side of things/downward movement.

I've tried to find info online for backtests and not much comes up. What does come up is people comparing Implied Volatility to later Realized Historic Volatility. Also a bunch of tastytrade videos come up but it is always the same thing on strangles.

I just want to know the accuracy of IV for expected upward moves.

I don't have access to a ton of historic options data with greeks. I think the simplest test would be to take the VIX and use it to test against the SPY.

If someone could save me the trouble and post the stats then it would be appreciated. I am looking for the number of times the SPY exceeded as well as stayed within the VIX 30 Calendar day IV expected move.

Let me give you a quick example, for the SPX (Jun 06/15/2018 exp) the price as I type this is 2664.85 with an ATM IV of 12.86%. What is the probability of touching a 1 standard deviation move upward? I get 32.72% for touching 2775.44. This means there is a 32.72% chance that the SPX will hit/touch 2775.44 at some point before expiration.

My question is how often is that projection (32.72% chance in this case) accurate? I see stocks like IBKR and MA and upside IV projections of expected move underestimated upward moves 70% of the time from what I can see.

One final thing to throw in here, I think it would be better to do short term/stock replacement strategies with ATM options instead of DITM regardless of the conventional wisdom on 1 delta DITM options. The bid/ask is just too wide even in really liquid DITM options. I think ATM is where it is at for short term directional trades.
 
I wouldn't equate using a high delta Stock Replacement strategies with short term directional trading.

ITM versus ATM or OTM involves trade offs. ITM has the spread issue and the potential to lose more if the stock drops. It has little theta decay if long term yet it profits immediately on smaller moves. ATM has lower delta, decay issues and needs a larger move to get anywhere. OTM is even worse.

For the B&H investor, the 100 delta call LEAP is the better choice to reduce risk, despite the spread. The speshial Elite Trader who always times everything perfectly should buy the OTM strike near the target price and enjoy the leveraged return. The rest of us have to weigh the trade offs.
 
spindr0 said:
I wouldn't equate using a high delta Stock Replacement strategies with short term directional trading.

ITM versus ATM or OTM involves trade offs. ITM has the spread issue and the potential to lose more if the stock drops. It has little theta decay if long term yet it profits immediately on smaller moves. ATM has lower delta, decay issues and needs a larger move to get anywhere. OTM is even worse.

For the B&H investor, the 100 delta call LEAP is the better choice to reduce risk, despite the spread. The speshial Elite Trader who always times everything perfectly should buy the OTM strike near the target price and enjoy the leveraged return. The rest of us have to weigh the trade offs.
More...
Thanks for the reply. On stocks that have trended up well like IKBR and MA the implied vol on upward moves has always been wrong. I am not good enough to predict OTM moves. I am just saying that 1 Stdev upward expected moves seem to happen more than IV is saying.
 
Code: 
2017-05-02,10.15,10.59,10.04,10.59,,10.59,
2017-05-03,10.56,11.15,10.40,10.68,,10.68,
2017-05-04,10.71,11.24,10.27,10.46,,10.46,
2017-05-05,10.51,10.98,9.99,10.57,,10.57,
2017-05-08,10.53,10.55,9.67,9.77,,9.77,
2017-05-09,9.87,10.14,9.56,9.96,,9.96,
2017-05-10,9.75,10.24,9.62,10.21,,10.21,
2017-05-11,10.34,11.23,10.32,10.60,,10.60,
2017-05-12,10.72,10.87,10.28,10.40,,10.40,
2017-05-15,10.54,10.88,10.25,10.42,,10.42,
2017-05-16,10.46,10.67,10.18,10.65,,10.65,
2017-05-17,11.89,15.59,11.53,15.59,,15.59,
2017-05-18,14.06,16.30,14.03,14.66,,14.66,
2017-05-19,14.23,14.23,11.72,12.04,,12.04,
2017-05-22,12.29,12.52,10.89,10.93,,10.93,
2017-05-23,11.00,11.00,10.56,10.72,,10.72,
2017-05-24,10.61,10.90,9.88,10.02,,10.02,
2017-05-25,9.82,10.29,9.72,9.99,,9.99,
2017-05-26,9.93,10.48,9.65,9.81,,9.81,
2017-05-30,10.61,10.84,10.14,10.38,,10.38,
2017-05-31,10.10,11.30,9.93,10.41,,10.41,
2017-06-01,10.42,10.54,9.69,9.89,,9.89,
2017-06-02,10.08,10.30,9.58,9.75,,9.75,
2017-06-05,10.08,10.28,9.60,10.07,,10.07,
2017-06-06,10.19,10.77,9.86,10.45,,10.45,
2017-06-07,10.48,10.93,10.12,10.39,,10.39,
2017-06-08,10.27,10.53,9.73,10.16,,10.16,
2017-06-09,9.93,12.11,9.37,10.70,,10.70,
2017-06-12,11.19,12.37,11.19,11.46,,11.46,
2017-06-13,11.12,11.14,10.26,10.42,,10.42,
2017-06-14,10.33,11.26,10.01,10.64,,10.64,
2017-06-15,11.06,12.01,10.74,10.90,,10.90,
2017-06-16,10.63,11.35,10.26,10.38,,10.38,
2017-06-19,10.57,10.60,10.01,10.37,,10.37,
2017-06-20,10.28,11.15,10.24,10.86,,10.86,
2017-06-21,11.03,11.40,10.40,10.75,,10.75,
2017-06-22,10.81,11.01,10.24,10.48,,10.48,
2017-06-23,10.25,10.69,9.85,10.02,,10.02,
2017-06-26,10.13,10.44,9.68,9.90,,9.90,
2017-06-27,10.04,11.31,9.80,11.06,,11.06,
2017-06-28,11.17,11.49,9.76,10.03,,10.03,
2017-06-29,9.79,15.16,9.73,11.44,,11.44,
2017-06-30,11.74,11.85,10.40,11.18,,11.18,
2017-07-03,11.07,11.45,10.28,11.22,,11.22,
2017-07-05,11.20,12.03,10.79,11.07,,11.07,
2017-07-06,11.20,13.05,11.18,12.54,,12.54,
2017-07-07,12.48,12.57,10.98,11.19,,11.19,
2017-07-10,11.26,11.73,10.61,11.11,,11.11,
2017-07-11,10.79,12.14,10.68,10.89,,10.89,
2017-07-12,10.85,10.85,10.08,10.30,,10.30,
2017-07-13,10.07,10.40,9.90,9.90,,9.90,
2017-07-14,10.09,10.14,9.50,9.51,,9.51,
2017-07-17,9.77,10.03,9.71,9.82,,9.82,
2017-07-18,9.86,10.35,9.66,9.95,,9.95,
2017-07-19,9.69,9.94,9.58,9.79,,9.79,
2017-07-20,9.66,10.27,9.50,9.58,,9.58,
2017-07-21,9.52,9.98,9.30,9.36,,9.36,
2017-07-24,9.94,9.97,9.26,9.43,,9.43,
2017-07-25,9.40,9.52,9.04,9.43,,9.43,
2017-07-26,9.25,9.66,8.84,9.60,,9.60,
2017-07-27,9.33,11.50,9.16,10.11,,10.11,
2017-07-28,10.62,11.30,10.26,10.29,,10.29,
2017-07-31,10.53,10.84,10.23,10.26,,10.26,
2017-08-01,10.19,10.56,9.95,10.09,,10.09,
2017-08-02,10.08,10.81,9.80,10.28,,10.28,
2017-08-03,10.47,10.60,9.90,10.44,,10.44,
2017-08-04,10.48,10.50,9.68,10.03,,10.03,
2017-08-07,10.19,10.32,9.76,9.93,,9.93,
2017-08-08,10.04,11.52,9.52,10.96,,10.96,
2017-08-09,11.49,12.63,11.11,11.11,,11.11,
2017-08-10,11.57,16.17,11.56,16.04,,16.04,
2017-08-11,16.17,17.28,14.50,15.51,,15.51,
2017-08-14,14.05,14.05,12.06,12.33,,12.33,
2017-08-15,11.78,12.37,11.45,12.04,,12.04,
2017-08-16,11.59,12.54,11.25,11.74,,11.74,
2017-08-17,11.81,15.77,11.54,15.55,,15.55,
2017-08-18,15.38,16.03,13.32,14.26,,14.26,
2017-08-21,14.59,14.74,13.07,13.19,,13.19,
2017-08-22,12.60,12.94,11.35,11.35,,11.35,
2017-08-23,11.51,12.59,11.39,12.25,,12.25,
2017-08-24,12.06,12.83,11.55,12.23,,12.23,
2017-08-25,12.20,12.45,11.10,11.28,,11.28,
2017-08-28,12.09,12.11,11.23,11.32,,11.32,
2017-08-29,13.33,14.34,11.48,11.70,,11.70,
2017-08-30,11.40,11.98,10.96,11.22,,11.22,
2017-08-31,11.07,11.22,10.34,10.59,,10.59,
2017-09-01,10.33,10.46,10.02,10.13,,10.13,
2017-09-05,11.75,14.06,11.41,12.23,,12.23,
2017-09-06,12.27,12.59,11.35,11.63,,11.63,
2017-09-07,11.93,12.07,11.32,11.55,,11.55,
2017-09-08,11.87,12.60,11.85,12.12,,12.12,
2017-09-11,11.38,11.39,10.51,10.73,,10.73,
2017-09-12,10.66,10.95,10.32,10.58,,10.58,
2017-09-13,10.72,10.86,10.33,10.50,,10.50,
2017-09-14,10.57,11.04,10.28,10.44,,10.44,
2017-09-15,10.51,10.74,10.00,10.17,,10.17,
2017-09-18,10.18,10.42,9.88,10.15,,10.15,
2017-09-19,10.16,10.30,9.85,10.18,,10.18,
2017-09-20,10.04,10.67,9.67,9.78,,9.78,
2017-09-21,9.74,10.21,9.54,9.67,,9.67,
2017-09-22,9.90,10.20,9.50,9.59,,9.59,
2017-09-25,10.08,11.21,9.79,10.21,,10.21,
2017-09-26,10.42,10.68,9.94,10.17,,10.17,
2017-09-27,9.90,10.42,9.63,9.87,,9.87,
2017-09-28,9.74,10.13,9.55,9.55,,9.55,
2017-09-29,9.59,9.83,9.36,9.51,,9.51,
2017-10-02,9.59,10.04,9.37,9.45,,9.45,
2017-10-03,9.30,9.75,9.30,9.51,,9.51,
2017-10-04,9.53,9.88,9.53,9.63,,9.63,
2017-10-05,9.48,9.62,9.13,9.19,,9.19,
2017-10-06,9.23,10.27,9.11,9.65,,9.65,
2017-10-09,9.92,10.53,9.88,10.33,,10.33,
2017-10-10,10.15,10.66,9.94,10.08,,10.08,
2017-10-11,9.95,10.38,9.72,9.85,,9.85,
2017-10-12,9.94,10.33,9.65,9.91,,9.91,
2017-10-13,9.95,9.98,9.44,9.61,,9.61,
2017-10-16,9.95,10.02,9.75,9.91,,9.91,
2017-10-17,9.85,10.46,9.78,10.31,,10.31,
2017-10-18,10.34,10.39,9.87,10.07,,10.07,
2017-10-19,10.22,11.77,9.99,10.05,,10.05,
2017-10-20,9.92,10.04,9.29,9.97,,9.97,
2017-10-23,10.25,11.08,9.94,11.07,,11.07,
2017-10-24,10.89,11.16,10.39,11.16,,11.16,
2017-10-25,11.34,13.20,10.99,11.23,,11.23,
2017-10-26,11.17,11.81,10.60,11.30,,11.30,
2017-10-27,11.12,11.12,9.74,9.80,,9.80,
2017-10-30,10.28,10.89,10.10,10.50,,10.50,
2017-10-31,10.34,10.37,9.90,10.18,,10.18,
2017-11-01,9.79,10.49,9.74,10.20,,10.20,
2017-11-02,10.44,10.89,9.67,9.93,,9.93,
2017-11-03,9.83,9.91,8.99,9.14,,9.14,
2017-11-06,9.63,9.74,9.38,9.40,,9.40,
2017-11-07,9.31,10.31,9.29,9.89,,9.89,
2017-11-08,9.79,10.27,9.50,9.78,,9.78,
2017-11-09,9.94,12.16,9.81,10.50,,10.50,
2017-11-10,10.78,11.58,10.50,11.29,,11.29,
2017-11-13,11.43,12.18,11.00,11.50,,11.50,
2017-11-14,11.53,12.61,11.45,11.59,,11.59,
2017-11-15,12.52,14.43,12.33,13.13,,13.13,
2017-11-16,12.47,12.52,11.38,11.76,,11.76,
2017-11-17,11.75,12.01,11.16,11.43,,11.43,
2017-11-20,11.96,12.08,10.44,10.65,,10.65,
2017-11-21,10.74,10.78,9.67,9.73,,9.73,
2017-11-22,9.60,9.88,9.32,9.88,,9.88,
2017-11-24,9.82,9.96,8.56,9.67,,9.67,
2017-11-27,10.07,10.26,9.79,9.87,,9.87,
2017-11-28,9.72,10.31,9.53,10.03,,10.03,
2017-11-29,9.91,10.93,9.81,10.70,,10.70,
2017-11-30,10.49,11.99,10.25,11.28,,11.28,
2017-12-01,11.19,14.19,11.18,11.43,,11.43,
2017-12-04,11.05,11.86,10.26,11.68,,11.68,
2017-12-05,11.38,11.67,10.65,11.33,,11.33,
2017-12-06,11.63,11.68,10.86,11.02,,11.02,
2017-12-07,10.90,11.32,10.12,10.16,,10.16,
2017-12-08,10.00,10.06,9.43,9.58,,9.58,
2017-12-11,9.74,10.08,9.28,9.34,,9.34,
2017-12-12,9.36,9.92,9.21,9.92,,9.92,
2017-12-13,9.78,10.21,9.65,10.18,,10.18,
2017-12-14,9.98,10.54,9.78,10.49,,10.49,
2017-12-15,10.12,10.20,9.22,9.42,,9.42,
2017-12-18,9.46,9.89,9.24,9.53,,9.53,
2017-12-19,9.40,10.15,9.18,10.03,,10.03,
2017-12-20,9.69,9.85,8.90,9.72,,9.72,
2017-12-21,9.59,9.86,9.20,9.62,,9.62,
2017-12-22,9.37,10.18,9.35,9.90,,9.90,
2017-12-26,10.19,10.46,10.13,10.25,,10.25,
2017-12-27,10.04,10.79,9.71,10.47,,10.47,
2017-12-28,10.29,10.44,10.07,10.18,,10.18,
2017-12-29,10.03,11.06,9.95,11.04,,11.04,
2018-01-02,10.95,11.07,9.52,9.77,,9.77,
2018-01-03,9.56,9.65,8.94,9.15,,9.15,
2018-01-04,9.01,9.31,8.92,9.22,,9.22,
2018-01-05,9.10,9.54,9.00,9.22,,9.22,
2018-01-08,9.61,9.89,9.32,9.52,,9.52,
2018-01-09,9.41,10.09,9.37,10.08,,10.08,
2018-01-10,10.11,10.85,9.82,9.82,,9.82,
2018-01-11,9.69,10.02,9.62,9.88,,9.88,
2018-01-12,9.74,10.31,9.54,10.16,,10.16,
2018-01-16,10.42,12.41,10.40,11.66,,11.66,
2018-01-17,11.35,12.81,11.18,11.91,,11.91,
2018-01-18,12.01,12.40,11.62,12.22,,12.22,
2018-01-19,12.30,12.33,11.18,11.27,,11.27,
2018-01-22,11.59,11.62,10.84,11.03,,11.03,
2018-01-23,10.77,11.57,10.76,11.10,,11.10,
2018-01-24,11.00,12.19,10.89,11.47,,11.47,
2018-01-25,11.27,12.01,11.20,11.58,,11.58,
2018-01-26,11.40,11.60,11.08,11.08,,11.08,
2018-01-29,11.71,13.84,11.68,13.84,,13.84,
2018-01-30,13.93,15.42,13.88,14.79,,14.79,
2018-01-31,14.23,14.44,13.41,13.54,,13.54,
2018-02-01,13.05,14.30,12.50,13.47,,13.47,
2018-02-02,13.64,17.86,13.64,17.31,,17.31,
2018-02-05,18.44,38.80,16.80,37.32,,37.32,
2018-02-06,37.32,50.30,22.51,29.98,,29.98,
2018-02-07,31.38,31.64,21.17,27.73,,27.73,
2018-02-08,27.29,36.17,24.41,33.46,,33.46,
2018-02-09,32.18,41.06,27.73,29.06,,29.06,
2018-02-12,27.25,29.70,24.42,25.61,,25.61,
2018-02-13,26.94,27.82,24.47,24.97,,24.97,
2018-02-14,23.48,25.72,18.99,19.26,,19.26,
2018-02-15,18.39,20.66,17.60,19.13,,19.13,
2018-02-16,18.74,20.99,17.44,19.46,,19.46,
2018-02-20,20.53,21.61,19.75,20.60,,20.60,
2018-02-21,20.76,21.04,16.97,20.02,,20.02,
2018-02-22,20.57,20.61,18.07,18.72,,18.72,
2018-02-23,17.96,18.80,16.47,16.49,,16.49,
2018-02-26,16.53,16.94,15.80,15.80,,15.80,
2018-02-27,15.83,18.98,15.29,18.59,,18.59,
2018-02-28,18.08,20.44,15.65,19.85,,19.85,
2018-03-01,19.96,25.30,19.57,22.47,,22.47,
2018-03-02,22.47,26.22,19.36,19.59,,19.59,
2018-03-05,21.55,21.57,17.94,18.73,,18.73,
2018-03-06,18.25,19.64,17.68,18.36,,18.36,
2018-03-07,20.11,20.49,17.52,17.76,,17.76,
2018-03-08,17.56,17.68,14.91,16.54,,16.54,
2018-03-09,16.41,16.75,13.31,14.64,,14.64,
2018-03-12,15.28,16.35,15.18,15.78,,15.78,
2018-03-13,15.70,16.98,15.03,16.35,,16.35,
2018-03-14,16.59,17.59,14.94,17.23,,17.23,
2018-03-15,16.99,17.41,15.96,16.59,,16.59,
2018-03-16,16.60,16.72,15.23,15.80,,15.80,
2018-03-19,16.63,21.87,16.56,19.02,,19.02,
2018-03-20,18.38,19.31,18.09,18.20,,18.20,
2018-03-21,17.76,18.37,16.26,17.86,,17.86,
2018-03-22,18.13,23.81,18.12,23.34,,23.34,
2018-03-23,24.02,26.01,21.63,24.87,,24.87,
2018-03-26,23.41,24.54,20.71,21.03,,21.03,
2018-03-27,20.33,24.06,19.84,22.50,,22.50,
2018-03-28,22.52,24.94,21.71,22.87,,22.87,
2018-03-29,22.87,23.05,19.60,19.97,,19.97,
2018-04-02,21.07,25.72,20.44,23.62,,23.62,
2018-04-03,23.03,23.38,20.92,21.10,,21.10,
2018-04-04,21.68,24.51,19.86,20.06,,20.06,
2018-04-05,19.76,20.21,18.57,18.94,,18.94,
2018-04-06,20.33,23.12,18.60,21.49,,21.49,
2018-04-09,21.27,22.02,20.34,21.77,,21.77,
2018-04-10,20.51,21.68,20.24,20.47,,20.47,
2018-04-11,20.95,21.66,19.64,20.24,,20.24,
2018-04-12,19.83,19.92,18.16,18.49,,18.49,
2018-04-13,18.27,18.45,17.26,17.41,,17.41,
2018-04-16,17.59,17.66,16.38,16.56,,16.56,
2018-04-17,16.16,16.27,14.57,15.25,,15.25,
2018-04-18,15.30,16.90,14.95,15.60,,15.60,
2018-04-19,15.55,16.92,15.16,15.96,,15.96,
2018-04-20,16.16,17.50,15.19,16.88,,16.88,
2018-04-23,17.29,17.56,15.79,16.34,,16.34,
2018-04-24,16.16,19.66,15.37,18.02,,18.02,
2018-04-25,18.14,19.84,17.75,17.84,,17.84,
2018-04-26,18.07,18.12,16.24,16.24,,16.24,
2018-04-27,16.22,16.77,15.25,15.41,,15.41,
2018-04-30,15.39,16.35,15.13,15.93,,15.93,
2018-05-01,15.78,16.82,15.42,15.49,,15.49,
2018-05-02,15.48,15.97,14.75,15.97,,15.97,
 
The post above this contains 1 year of VIX Index Data. Field/Column #5 contains the Closing Price. This will be the IV for the next 30 Calendar Days. I'm going to cheat simulating calendar days by adding on +2 to the number of days counter every time I hit a Friday. I have a function that tells me the day of the week.
 
MoneyMatthew said:
Thanks for the reply. On stocks that have trended up well like IKBR and MA the implied vol on upward moves has always been wrong. I am not good enough to predict OTM moves. I am just saying that 1 Stdev upward expected moves seem to happen more than IV is saying.
More...

I can't help you with that since it's above my pay grade.

Just curious though, are you sure that your source of IV is correct? I surmise that you're talking about the trading behavior of IBKR rather than the broker itself.

Though it has nothing to do with your question, in regard to IBKR and Greeks, what they provide on their platform is different than what they provide live through their DDE connection, especially on options expiring within a few days. So I feel your statistical pain. :)
 
spindr0 said:
I can't help you with that since it's above my pay grade.

Just curious though, are you sure that your source of IV is correct? I surmise that you're talking about the trading behavior of IBKR rather than the broker itself.

Though it has nothing to do with your question, in regard to IBKR and Greeks, what they provide on their platform is different than what they provide live through their DDE connection, especially on options expiring within a few days. So I feel your statistical pain. :)
More...
I am talking about the stock itself and its performance. I am not talking about using the broker for data or trading. What I posted was the VIX OHLC daily data.
 
Code: 
2017-05-02,238.84,238.98,238.30,238.77,57375700,238.77,
2017-05-03,238.29,238.88,237.70,238.48,73137696,238.48,
2017-05-04,238.83,238.92,237.78,238.76,61462700,238.76,
2017-05-05,239.19,239.72,238.68,239.70,62001200,239.70,
2017-05-08,239.75,239.92,239.17,239.66,48385700,239.66,
2017-05-09,239.96,240.19,239.04,239.44,51363100,239.44,
2017-05-10,239.39,239.87,239.15,239.87,54293800,239.87,
2017-05-11,239.35,239.57,238.13,239.38,62358300,239.38,
2017-05-12,239.09,239.43,238.67,238.98,53912700,238.98,
2017-05-15,239.47,240.44,239.45,240.30,61918900,240.30,
2017-05-16,240.64,240.67,239.63,240.08,51241700,240.08,
2017-05-17,238.10,238.64,235.75,235.82,172174096,235.82,
2017-05-18,235.73,237.75,235.43,236.77,107047600,236.77,
2017-05-19,237.33,239.08,237.27,238.31,115011296,238.31,
2017-05-22,238.90,239.71,238.82,239.52,61010600,239.52,
2017-05-23,239.95,240.24,239.51,240.05,48341600,240.05,
2017-05-24,240.32,240.73,239.93,240.61,49181100,240.61,
2017-05-25,241.20,242.08,240.96,241.76,64071600,241.76,
2017-05-26,241.54,241.90,241.45,241.71,46629900,241.71,
2017-05-30,241.34,241.79,241.16,241.50,35201800,241.50,
2017-05-31,241.84,241.88,240.64,241.44,91796000,241.44,
2017-06-01,241.97,243.38,241.64,243.36,68962000,243.36,
2017-06-02,243.42,244.35,243.08,244.17,88666096,244.17,
2017-06-05,243.97,244.30,243.76,243.99,44698800,243.99,
2017-06-06,243.34,243.98,243.12,243.21,50375400,243.21,
2017-06-07,243.60,243.92,242.83,243.66,54144300,243.66,
2017-06-08,243.77,244.33,243.17,243.78,65950600,243.78,
2017-06-09,244.09,245.01,241.95,243.41,132256304,243.41,
2017-06-12,243.13,243.42,242.38,243.36,86108096,243.36,
2017-06-13,243.98,244.61,243.58,244.55,60066900,244.55,
2017-06-14,244.86,244.87,243.29,244.24,78602304,244.24,
2017-06-15,242.68,243.91,242.36,243.77,66464800,243.77,
2017-06-16,242.77,242.83,241.63,242.64,84553000,242.64,
2017-06-19,243.59,244.73,243.48,244.66,65123800,244.66,
2017-06-20,244.25,244.26,242.99,243.01,56906300,243.01,
2017-06-21,243.42,243.59,242.41,242.95,55977500,242.95,
2017-06-22,242.96,243.53,242.64,242.84,44148000,242.84,
2017-06-23,242.91,243.51,242.47,243.13,66986800,243.13,
2017-06-26,243.90,244.38,243.04,243.29,56700400,243.29,
2017-06-27,243.04,243.38,241.31,241.33,82247600,241.33,
2017-06-28,242.50,243.71,242.23,243.49,70042600,243.49,
2017-06-29,243.66,243.72,239.96,241.35,106949696,241.35,
2017-06-30,242.28,242.71,241.57,241.80,86820600,241.80,
2017-07-03,242.88,243.38,242.21,242.21,39153800,242.21,
2017-07-05,242.63,243.01,241.70,242.77,54427600,242.77,
2017-07-06,241.89,242.03,240.34,240.55,66115300,240.55,
2017-07-07,241.21,242.28,240.56,242.11,57972200,242.11,
2017-07-10,241.95,242.80,241.76,242.37,36663200,242.37,
2017-07-11,242.16,242.55,240.85,242.19,50354600,242.19,
2017-07-12,243.30,244.20,243.30,244.01,59610400,244.01,
2017-07-13,244.02,244.55,243.76,244.42,39471600,244.42,
2017-07-14,244.43,245.97,244.31,245.56,60262600,245.56,
2017-07-17,245.47,245.91,245.33,245.53,33531900,245.53,
2017-07-18,245.06,245.72,244.67,245.66,42742500,245.66,
2017-07-19,246.02,247.00,246.01,246.99,51034200,246.99,
2017-07-20,247.28,247.42,246.47,247.10,47135100,247.10,
2017-07-21,246.44,246.91,246.18,246.88,88711000,246.88,
2017-07-24,246.79,246.98,246.28,246.82,46622200,246.82,
2017-07-25,247.68,247.80,247.16,247.42,54915500,247.42,
2017-07-26,247.75,247.79,247.13,247.43,47575400,247.43,
2017-07-27,247.96,248.00,245.68,247.20,70766496,247.20,
2017-07-28,246.65,247.06,246.13,246.91,50088300,246.91,
2017-07-31,247.37,247.48,246.53,246.77,65838600,246.77,
2017-08-01,247.46,247.50,246.72,247.32,55050400,247.32,
2017-08-02,247.47,247.60,246.37,247.44,47211200,247.44,
2017-08-03,247.31,247.34,246.64,246.96,40855900,246.96,
2017-08-04,247.52,247.79,246.97,247.41,60191800,247.41,
2017-08-07,247.49,247.87,247.37,247.87,31995000,247.87,
2017-08-08,247.51,248.91,246.83,247.26,61719300,247.26,
2017-08-09,246.47,247.31,246.06,247.25,62632600,247.25,
2017-08-10,246.29,246.44,243.70,243.76,120479400,243.76,
2017-08-11,244.02,244.80,243.75,244.12,74869904,244.12,
2017-08-14,245.59,246.79,245.55,246.54,73291904,246.54,
2017-08-15,246.98,247.00,246.16,246.51,55242700,246.51,
2017-08-16,247.11,247.57,246.45,246.94,56715500,246.94,
2017-08-17,246.24,246.60,243.09,243.09,128490400,243.09,
2017-08-18,242.90,244.19,242.20,242.71,136747904,242.71,
2017-08-21,242.64,243.20,241.83,242.90,65469700,242.90,
2017-08-22,243.57,245.62,243.55,245.44,63140100,245.44,
2017-08-23,244.33,245.05,244.16,244.56,50203800,244.56,
2017-08-24,245.00,245.18,243.75,243.99,50741600,243.99,
2017-08-25,244.90,245.61,244.39,244.56,64445900,244.56,
2017-08-28,245.17,245.20,244.09,244.57,40565600,244.57,
2017-08-29,243.06,245.15,242.93,244.85,51103100,244.85,
2017-08-30,244.83,246.32,244.62,246.01,62030800,246.01,
2017-08-31,246.72,247.77,246.05,247.49,103803800,247.49,
2017-09-01,247.92,248.33,247.67,247.84,62006900,247.84,
2017-09-05,247.26,247.52,244.95,246.06,91398704,246.06,
2017-09-06,246.84,247.28,246.23,246.90,57916800,246.90,
2017-09-07,247.25,247.27,246.40,246.87,58034700,246.87,
2017-09-08,246.54,247.11,246.30,246.58,63832800,246.58,
2017-09-11,248.04,249.30,248.02,249.21,71364800,249.21,
2017-09-12,249.63,250.09,249.42,250.05,56896000,250.05,
2017-09-13,249.72,250.21,249.59,250.17,59228000,250.17,
2017-09-14,249.80,250.32,249.60,250.09,95446304,250.09,
2017-09-15,248.69,249.29,248.57,249.19,95432304,249.19,
2017-09-18,249.61,250.12,249.28,249.72,46235200,249.72,
2017-09-19,250.00,250.07,249.60,249.97,47108100,249.97,
2017-09-20,250.07,250.19,248.92,250.06,59574000,250.06,
2017-09-21,249.88,249.98,249.19,249.39,48211300,249.39,
2017-09-22,249.05,249.63,249.02,249.44,51214000,249.44,
2017-09-25,249.15,249.55,248.08,248.93,57064300,248.93,
2017-09-26,249.42,249.70,248.81,249.08,54081900,249.08,
2017-09-27,249.88,250.49,248.87,250.05,81001400,250.05,
2017-09-28,249.73,250.44,249.63,250.35,44778800,250.35,
2017-09-29,250.34,251.32,250.13,251.23,85578000,251.23,
2017-10-02,251.49,252.32,251.29,252.32,59022900,252.32,
2017-10-03,252.46,252.89,252.23,252.86,66810100,252.86,
2017-10-04,252.69,253.44,252.56,253.16,55953600,253.16,
2017-10-05,253.54,254.68,253.20,254.66,63522700,254.66,
2017-10-06,254.15,254.70,253.85,254.37,80645904,254.37,
2017-10-09,254.63,254.70,253.65,253.95,35803100,253.95,
2017-10-10,254.60,255.05,253.98,254.62,43057300,254.62,
2017-10-11,254.51,255.02,254.32,255.02,47674300,255.02,
2017-10-12,254.66,255.06,254.37,254.64,47065100,254.64,
2017-10-13,255.14,255.27,254.64,254.95,54800400,254.95,
2017-10-16,255.21,255.51,254.82,255.29,38221600,255.29,
2017-10-17,255.23,255.52,254.98,255.47,31560900,255.47,
2017-10-18,255.90,255.95,255.50,255.72,40888300,255.72,
2017-10-19,254.83,255.83,254.35,255.79,61903700,255.79,
2017-10-20,256.70,257.14,255.77,257.11,89176304,257.11,
2017-10-23,257.48,257.51,256.02,256.11,63915300,256.11,
2017-10-24,256.60,256.83,256.15,256.56,66935900,256.56,
2017-10-25,256.18,256.31,254.00,255.29,103715200,255.29,
2017-10-26,255.99,256.30,255.48,255.62,69797904,255.62,
2017-10-27,256.54,257.89,255.63,257.71,85562496,257.71,
2017-10-30,257.07,257.60,256.41,256.75,54285600,256.75,
2017-10-31,257.18,257.44,256.81,257.15,60304700,257.15,
2017-11-01,258.04,258.43,257.07,257.49,54202700,257.49,
2017-11-02,257.41,257.75,256.19,257.59,56449500,257.59,
2017-11-03,257.77,258.50,257.30,258.45,59589700,258.45,
2017-11-06,258.30,259.00,258.22,258.85,49652500,258.85,
2017-11-07,258.97,259.35,258.09,258.67,57502100,258.67,
2017-11-08,258.47,259.22,258.15,259.11,50469500,259.11,
2017-11-09,257.73,258.39,256.36,258.17,95085504,258.17,
2017-11-10,257.73,258.29,257.37,258.09,59984600,258.09,
2017-11-13,257.31,258.59,257.27,258.33,50228600,258.33,
2017-11-14,257.41,257.85,256.52,257.73,61315100,257.73,
2017-11-15,256.62,257.22,255.63,256.44,80811504,256.44,
2017-11-16,257.52,259.04,257.48,258.62,67777000,258.62,
2017-11-17,258.22,258.59,257.77,257.86,75756800,257.86,
2017-11-20,258.14,258.53,257.86,258.30,48075500,258.30,
2017-11-21,259.18,260.20,258.26,259.99,69176800,259.99,
2017-11-22,260.00,260.15,259.57,259.76,45033300,259.76,
2017-11-24,260.32,260.48,260.16,260.36,27856500,260.36,
2017-11-27,260.41,260.75,260.00,260.23,52274900,260.23,
2017-11-28,260.76,262.90,260.66,262.87,98971696,262.87,
2017-11-29,263.02,263.63,262.20,262.71,77512096,262.71,
2017-11-30,263.76,266.05,263.67,265.01,127894304,265.01,
2017-12-01,264.76,265.31,260.76,264.46,164390896,264.46,
2017-12-04,266.31,266.80,264.08,264.14,94040496,264.14,
2017-12-05,264.43,265.15,263.04,263.19,77994496,263.19,
2017-12-06,262.87,263.73,262.71,263.24,75898496,263.24,
2017-12-07,263.09,264.43,262.94,264.07,77218496,264.07,
2017-12-08,264.99,265.52,264.03,265.51,76563800,265.51,
2017-12-11,265.58,266.38,265.48,266.31,83077504,266.31,
2017-12-12,266.57,267.32,266.35,266.78,85195696,266.78,
2017-12-13,267.06,267.56,266.65,266.75,102905400,266.75,
2017-12-14,267.09,267.22,265.60,265.66,100666600,265.66,
2017-12-15,265.45,267.04,265.39,266.51,144610208,266.51,
2017-12-18,268.10,268.60,267.98,268.20,83653504,268.20,
2017-12-19,268.48,268.53,267.09,267.17,82382800,267.17,
2017-12-20,268.27,268.33,266.69,267.03,76751504,267.03,
2017-12-21,267.74,268.39,267.30,267.58,67032300,267.58,
2017-12-22,267.60,267.64,266.90,267.51,78720800,267.51,
2017-12-26,267.05,267.44,266.89,267.19,45244400,267.19,
2017-12-27,267.38,267.73,267.01,267.32,57750900,267.32,
2017-12-28,267.89,267.92,267.45,267.87,45116100,267.87,
2017-12-29,268.53,268.55,266.64,266.86,96007400,266.86,
2018-01-02,267.84,268.81,267.40,268.77,86655696,268.77,
2018-01-03,268.96,270.64,268.96,270.47,90070400,270.47,
2018-01-04,271.20,272.16,270.55,271.61,80636400,271.61,
2018-01-05,272.51,273.56,271.95,273.42,83523904,273.42,
2018-01-08,273.31,274.10,272.98,273.92,57319100,273.92,
2018-01-09,274.40,275.25,274.08,274.54,57253900,274.54,
2018-01-10,273.68,274.42,272.92,274.12,69574304,274.12,
2018-01-11,274.75,276.12,274.56,276.12,62361400,276.12,
2018-01-12,276.42,278.11,276.08,277.92,90816000,277.92,
2018-01-16,279.35,280.09,276.18,276.97,106555104,276.97,
2018-01-17,278.03,280.05,276.97,279.61,113258800,279.61,
2018-01-18,279.48,279.96,278.58,279.14,100728000,279.14,
2018-01-19,279.80,280.41,279.14,280.41,140920096,280.41,
2018-01-22,280.17,282.69,280.11,282.69,91322400,282.69,
2018-01-23,282.74,283.62,282.37,283.29,97084704,283.29,
2018-01-24,284.02,284.70,281.84,283.18,134816096,283.18,
2018-01-25,284.16,284.27,282.41,283.30,84587296,283.30,
2018-01-26,284.25,286.63,283.96,286.58,107743104,286.58,
2018-01-29,285.93,286.43,284.50,284.68,90118304,284.68,
2018-01-30,282.60,284.74,281.22,281.76,131796400,281.76,
2018-01-31,282.73,283.30,280.68,281.90,118948096,281.90,
2018-02-01,281.07,283.06,280.68,281.58,90102400,281.58,
2018-02-02,280.08,280.23,275.41,275.45,173174704,275.45,
2018-02-05,273.45,275.85,263.31,263.93,294681792,263.93,
2018-02-06,259.94,269.70,258.70,269.13,355026816,269.13,
2018-02-07,268.50,272.36,267.58,267.67,167376096,267.67,
2018-02-08,268.01,268.17,257.59,257.63,246449504,257.63,
2018-02-09,260.80,263.61,252.92,261.50,283565312,261.50,
2018-02-12,263.83,267.01,261.66,265.34,143735904,265.34,
2018-02-13,263.97,266.62,263.31,266.00,81223600,266.00,
2018-02-14,264.31,270.00,264.30,269.59,120735600,269.59,
2018-02-15,271.57,273.04,268.77,273.03,111200200,273.03,
2018-02-16,272.32,275.32,272.27,273.11,160420096,273.11,
2018-02-20,272.03,273.67,270.50,271.40,86369600,271.40,
2018-02-21,271.90,274.72,269.94,270.05,98883696,270.05,
2018-02-22,271.10,273.05,269.64,270.40,110511200,270.40,
2018-02-23,271.79,274.71,271.25,274.71,92766400,274.71,
2018-02-26,275.93,278.01,275.26,277.90,86491400,277.90,
2018-02-27,278.11,278.92,274.36,274.43,99099104,274.43,
2018-02-28,275.68,276.19,271.29,271.65,121907696,271.65,
2018-03-01,271.41,273.17,266.00,267.70,176855008,267.70,
2018-03-02,265.80,269.72,264.82,269.08,139083200,269.08,
2018-03-05,267.73,272.89,267.61,272.19,97307296,272.19,
2018-03-06,273.30,273.39,271.18,272.88,79213104,272.88,
2018-03-07,270.42,273.18,270.20,272.78,87063504,272.78,
2018-03-08,273.55,274.24,272.42,274.10,66901100,274.10,
2018-03-09,275.70,278.87,275.34,278.87,113625296,278.87,
2018-03-12,279.20,279.91,278.08,278.52,71924704,278.52,
2018-03-13,279.84,280.41,276.03,276.72,91968896,276.72,
2018-03-14,277.81,278.02,274.67,275.30,105895000,275.30,
2018-03-15,275.88,276.61,274.43,275.00,83433000,275.00,
2018-03-16,274.50,275.39,274.14,274.20,100343600,274.20,
2018-03-19,273.35,274.40,268.62,270.49,109208400,270.49,
2018-03-20,270.94,271.67,270.18,270.95,59757200,270.95,
2018-03-21,270.90,273.27,270.19,270.43,78709504,270.43,
2018-03-22,267.91,268.87,263.36,263.67,148785904,263.67,
2018-03-23,264.17,265.02,257.83,258.05,183534704,258.05,
2018-03-26,262.13,265.43,259.41,265.11,141956096,265.11,
2018-03-27,266.17,266.77,258.84,260.60,129941400,260.60,
2018-03-28,260.75,262.64,258.58,259.83,146452304,259.83,
2018-03-29,261.12,265.26,259.84,263.15,124244704,263.15,
2018-04-02,262.55,263.13,254.67,257.47,186286304,257.47,
2018-04-03,258.87,261.31,256.84,260.77,119956800,260.77,
2018-04-04,256.75,264.36,256.60,263.56,123715296,263.56,
2018-04-05,265.55,266.64,264.32,265.64,82652600,265.64,
2018-04-06,263.42,265.11,258.00,259.72,179521200,259.72,
2018-04-09,261.37,264.84,259.94,261.00,105442896,261.00,
2018-04-10,264.27,266.04,262.98,265.15,105573696,265.15,
2018-04-11,263.47,265.64,263.39,263.76,91140200,263.76,
2018-04-12,265.26,267.00,265.06,265.93,68890400,265.93,
2018-04-13,267.41,267.54,264.01,265.15,85079104,265.15,
2018-04-16,267.00,268.20,266.07,267.33,63405200,267.33,
2018-04-17,269.33,270.87,268.75,270.19,64682000,270.19,
2018-04-18,270.69,271.30,269.87,270.39,57303800,270.39,
2018-04-19,269.65,269.88,267.72,268.89,77655904,268.89,
2018-04-20,268.81,269.06,265.61,266.61,99953104,266.61,
2018-04-23,267.26,267.89,265.35,266.57,65557900,266.57,
2018-04-24,267.73,267.98,261.28,262.98,112885400,262.98,
2018-04-25,262.91,264.13,260.85,263.63,103840896,263.63,
2018-04-26,264.79,267.25,264.29,266.31,67731904,266.31,
2018-04-27,267.00,267.34,265.50,266.56,57053600,266.56,
2018-04-30,267.26,267.89,264.43,264.51,82182304,264.51,
2018-05-01,263.87,265.10,262.11,264.98,74203296,264.98,
2018-05-02,264.76,265.68,262.76,263.20,86368896,263.20,
 
There is a boring ol' Cart&Horse thing of which to remind you: IV cannot be "accurate" -- it is an outcome, not a quote. It is derived from option premiums in the market, not quoted from some source and used to produce option prices. So, "IV" cannot be *accurate* -- it was never meant to be predictive, it is *implied* to be predictive, and stems from prices that the options market sees in active trade, for the buying *and* the selling of risk. If you yourself see a dollar's worth of risk, don't you want at least $1.01 for the exposure?

What is more, is that IV *should*be* greater than actualized vol, if the option market was smart enough to accurately gauge risks/potentials while IV quotes were being drawn. BUT THAT COULD CHANGE IN THE NEXT MINUTE. Does that mean the prior IV quotes were *wrong* or were *inaccurate*?? Hardly.

So, all you're looking for is any sort of assessment on how well ("or not!") IV tracked with the actualized, 'received', *historic* volatility x_many days later. Well, there are issues here, too.
1) The IV sources for the SPX are not the same as those of AAPL or GOOG or DIS or FB or whomever else you might wish to quote.
2) The IV regime extant in any of these big mover/shaker markets WILL ITSELF change, over a matter of hours, days, weeks, months, and as we've seen in calendar 2018, years.

Does this mean that your question searches to nail down a fuzzy irrelevancy? Well, yeah, kinda, but it's still a good thing to have a handle on -- this relationship between current, ephemeral IV, and the to-be-observed historic. Just don't expect this relationship to cover the rest of the financial world, or the corner at which you peak today, too far into the future. This shit will change and slap you in the face, ass, face, ass, .... (you get the idea) faster than you can say, "I has gotz options."

All that said, here's a 6-month of IV and historic. "Sucks to be an option seller!" Well, some days it does. The lighter blue is IV, the as-delivered is considerably above for a large part of the last half-year, and the to-be-expected surplus of IV/HV which gets option sellers up in the morning??
Yeah. Well.....

SPX_IV_historicVolCapture.PNG


And, well, Hell...... just to be complete, the ATRs for the same period, tuned to mimic vol.

SPX_ATRCaptures.PNG
 
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