Frequently Asked Questions
Do you offer a free trial?
Although we do not offer a fully functional free trial, as a free data sample we provide free chart viewing and data downloading for the Dow 30 tickers with 5 years of data history (equivalent to the functionality of the Lite subscription plan), in addition to free chart viewing with 3 months of data history for all tickers.
Do you account for dividends and splits in your historical volatility calculations?
Yes, the underlying price history data we use for the historical volatility calculations is adjusted for dividends and splits.
Do you account for dividends in your implied volatility calculations?
Yes, we make an adjustment for dividends by subtracting the present value of future dividends (actual and/or inferred) from the underlying price in the option pricing calculations.
What methodology do you use for your implied volatility calculations?
We use the Black-Scholes option pricing model in conjunction with the Newton-Raphson method.
Why are some values missing/NULL?
In general, a value is NULL when there is insufficient data to compute the value. Some common examples include:
- A ticker will not have historical volatility values if it does not have primary listing on NYSE, NASDAQ, NYSE American, or NYSE ARCA, since it is not included in our underlying price history data.
- A newly listed ticker will not have historical volatility values on longer time frames if it has not yet traded for the required number of days.
- A ticker will not have implied volatility values or put-call ratios if it does not have options listed.
- A ticker will have NULL implied implied volatility values if there is insufficient option price data to calculate the value for the relevant time frame. For tickers with sparse option markets, there may not exist all of the required set of options with strikes near the at-the-money price and expiration dates near the target expiration date to make the aggregate implied volatility calculation. This situation is most common with implied volatility skew, the calculation of which requires a larger set of options at levels both above and below the at-the-money price.
- A ticker may have NULL implied volatility values if its option market is highly illiquid with very wide bid-ask spreads, which can create non-convergence scenarios with the Newton-Raphson method.