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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.
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ApexVol Terminal
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Chains, IV rank, expected move and dealer positioning for 5,500+ US stocks and ETFs.
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