Options Market Study: an implied-volatility snapshot
Across 120 of the most-traded US options names, the median implied volatility is 42.0% — pricing in a roughly ±7.0% move by the next monthly expiry — but the range is enormous: the priciest name (AMC Entertainment, 118.4%) carries about 10.5× the implied volatility of the calmest (SPDR S&P 500 ETF, 11.3%).
Cheapest vs priciest options
Where is option premium cheap, and where is it expensive? These are the 5 lowest- and highest-IV names in the covered universe on 2026-07-06. Low IV means the market expects a quiet stock (premium is cheap to buy, thin to sell); high IV means a big move is priced in.
| Ticker | Company | 30-day IV | Expected move |
|---|---|---|---|
| SPY | SPDR S&P 500 ETF | 11.3% | ±1.9% |
| IWM | iShares Russell 2000 ETF | 18.1% | ±3.0% |
| KO | Coca-Cola | 19.8% | ±3.3% |
| UL | Unilever | 21.1% | ±3.5% |
| PFE | Pfizer | 22.4% | ±3.8% |
| Ticker | Company | 30-day IV | Expected move |
|---|---|---|---|
| AMC | AMC Entertainment | 118.4% | ±19.9% |
| MU | Micron Technology | 105.8% | ±17.7% |
| ARM | Arm Holdings | 99.5% | ±16.7% |
| KLAC | KLA Corporation | 98.4% | ±16.5% |
| MRNA | Moderna | 98.3% | ±16.5% |
How implied volatility is distributed
The spread of 30-day implied volatility across the covered universe. Most names cluster in the 20–40% band; a long right tail of high-volatility names sits above 50%.
| 30-day IV bucket | Number of names |
|---|---|
| <20% | 3 |
| 20–30% | 21 |
| 30–40% | 32 |
| 40–50% | 16 |
| 50–70% | 26 |
| 70%+ | 22 |
By segment
Broad ETFs and index products carry far lower implied volatility than single stocks — diversification smooths out the idiosyncratic moves that inflate single-name premium.
| Segment | Median IV | Expected move | Names |
|---|---|---|---|
| ETFs / index funds | 18.1% | ±3.0% | 3 |
| Single stocks | 43.5% | ±7.3% | 117 |
Methodology & caveats
Implied volatility is the at-the-money IV from live (roughly 15-minute-delayed) option chains, sampled on 2026-07-06 across the 120 liquid US-listed tickers this site tracks; 120 returned a usable real chain. Expected move is IV × √(days/365) to the nearest monthly expiry. Figures are a point-in-time snapshot for research and education only, not investment advice.
- Dated snapshot. Every figure is a cross-sectional reading taken on 2026-07-06. Implied volatility moves constantly; this is a point-in-time picture, not a forecast.
- Delayed data. The underlying option chains come from a free market-data feed that is delayed by roughly 15 minutes and may be incomplete outside US market hours.
- Expected move is a model estimate — spot × IV × √(days/365) for a 30-day horizon — not a guarantee. Roughly two-thirds of moves fall within it; one-third do not.
- Educational only. Nothing here is financial advice or a recommendation to trade any security. See our full risk disclaimer and methodology.
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Data as of 2026-07-06. Educational content only — not financial advice. Privacy · Terms · methodology.