New Metrics on The Wheel Screener: IV Rank, IV Percentile, Next Earnings Date, and Last Earnings Date

Listen to AI-cloned voice of Chris, founder of The Wheel Screener, read this post aloud:

IV Rank, IV Percentile, Next Earnings Date, and Last Earnings Date

As options sellers, we're constantly searching for the sweet spot between premium and risk. I'm excited to announce the addition of four new metrics to The Wheel Screener that will help you make more informed decisions about when and where to sell options: IV Rank, IV Percentile, next earnings date, and last earnings date.

Understanding IV Rank and IV Percentile

IV Rank and IV Percentile are two different ways of looking at the same thing: how today's implied volatility compares to historical levels. But they tell slightly different stories:

• IV Rank: Shows where current IV stands between the 52-week high and low (0-100)
• IV Percentile: Shows what percentage of days had lower IV over the past year (0-100)

Why do we need both? Let's say a stock has had relatively stable IV all year between 30-40, but had one spike to 90. The IV Rank might show a current reading of 20 (suggesting low IV), while IV Percentile might show 85 (suggesting high IV). Having both metrics gives you a more complete implied volatility picture. Both of these metrics have been added to the default view of our screener.

Finding "Overpriced" Options

One of the most powerful applications of these metrics is finding potentially overpriced options. As premium sellers, we want to sell options when IV is high relative to historical norms. A high IV Rank (>75) or IV Percentile (>75) can signal selling opportunities. When we say "overpriced", we mean that either market makers or the market participants themselves are pricing in a higher implied move (or volatility), i.e., more risk than usual. This can be an advantageous time to sell options, as you're collecting more premium than you might otherwise.

But selling options is not just about high IV numbers - it's about understanding why IV is elevated. This brings us to our enhanced earnings tracking.

Last and Next Earnings Date

We've added both last earnings date and next earnings date tracking to help you better navigate these volatile periods. Why? Because earnings-related IV crush is one of the most reliable phenomena in options trading.

Here's a pattern often seen in the market:

1. IV of a stock rises leading into earnings (or in the case of indexes, big financial events like FOMC or jobs reports)
2. Actual stock or index move is less than implied
3. IV collapses after earnings or event

By tracking both historical and upcoming earnings dates, you can:

• Identify stocks approaching earnings
• Compare current IV levels to previous earnings cycles
• Find situations where the market might be overestimating earnings volatility

Bringing It All Together

These metrics work together to help you find better trades. For example, you might look for:

• High IV Rank/Percentile outside of earnings (potentially overpriced options for other external reasons)
• Historical patterns of IV expansion before earnings
• Stocks where previous earnings moves were consistently smaller than implied

We've integrated all these metrics into our screener, making it easy to filter for opportunities that match your criteria. Whether you're selling covered calls, cash-secured puts, or running the wheel strategy, these new tools will help you make more informed decisions about when and where to collect premium.

Enhanced Newsletter Integration

Because these metrics are so important, we've added new sections to our daily newsletter highlighting stocks with notable IV characteristics or upcoming earnings:

• Top Contracts By Implied Volatility Rank
• Top Contracts By Implied Volatility Percentile
• Top Contracts For Upcoming Earnings

Check out the newsletter signup page to start receiving these daily reports.

What's Next?

The natural next step at The Wheel Screener is to start building our own historical database of these metrics, specifically tabulating IV Crush and expected vs realized post-earnings moves. We'll start first with the expected move around earnings reports. The expected move is based on the IV and number of trading days in a year. We'll have a separate post explaining this calculation in detail soon.

From there, we plan to expand to tracking elevated IV numbers beyond earnings-related events. While at first glance the "last earnings date" metric might seem irrelevant, it will be a critical metric for us internally to build out our historical database. This will allow us to tabulate how stocks moved after earnings and compare those movements to both the implied move and the reported IV Rank and IV Percentile before and after the event.

Stay tuned for more updates as we continue to expand our toolset for options sellers.