IVX

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IVX is a volatility index for individual stocks. It provides an intraday read on how volatile a stock is expected to be, based on options prices. IVX stands for Implied Volatility Index and shows the cost level of options for a particular security. When IVX is high, options tend to be more expensive; when it’s low, they’re cheaper. You can compare IVX across companies in the same industry to spot stocks that stand out from the sector.

IVX reflects the market’s expectation of future stock volatility over a chosen period and is available for any stock with tradable options. It’s calculated by weighting option data (using Delta and Vega) from eight near-the-money options (four calls and four puts) around two nearby expirations to estimate the volatility for that horizon. The resulting values are then normalized to fixed tenors (30, 60, 90, 120, 150, 180, 360, and 720 days) by interpolating variances.

IVX is similar in purpose to VIX, but VIX measures the broad market using a wide range of strikes on indices, while IVX applies to individual stocks. IVX works for stocks with liquid options; if a stock’s options are illiquid or have large price gaps, IVX may be unreliable.

To calculate a 30-day IVX (IVX Call 30, for example), the two expirations closest to 30 days are used (often the near term and the next month). The four ATM calls for each expiration are selected and averaged using Vega weighting. Options that are too near expiry or violate put–call parity are filtered out. The IVX for 30 days is then obtained by interpolating between the two expiries. This approach ensures a smooth, horizon-specific volatility measure.

IVX was introduced in 1998 and is a registered trademark of IVolatility.com. It has become a useful tool for assessing stock-specific option costs and expected volatility, though it may not be available or reliable for every stock if its options lack liquidity.