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Volatility

Ex-Earnings HV

HV with earnings day moves stripped out

What is Ex-Earnings HV?

Ex-Earnings HV Historical volatility calculated after removing earnings announcement day moves from the dataset. Shows the stock's underlying volatility regime without event distortion. The gap between regular HV and ex-earnings HV reveals how much earnings events contribute to overall realized vol.

Complete Definition

Historical volatility calculated after removing earnings announcement day moves from the dataset. Shows the stock's underlying volatility regime without event distortion. The gap between regular HV and ex-earnings HV reveals how much earnings events contribute to overall realized vol.

Example

AMZN's 20-day HV is 35% but ex-earnings HV is only 22%. The 13-point gap shows earnings moves are a huge vol driver — important for pricing straddles around earnings.

Related Terms

Historical Volatility Hv Regime Earnings Straddle

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