ETF Screener with Options Data: IV Rank, Expected Move

Investing in ETFs has several advantages over single stocks. With broadly diversified index ETFs the risk of a total loss is practically negligible and ETFs tracking an index such as the S&P 500 add and remove stocks according to defined rules, for the S&P 500 an index committee decides on the basis of those criteria. General market risk remains, but for long-term investors a decline in a broad index ETF is a different situation from a decline in a single stock: there is a reason the stock is falling and nobody knows how far it will fall, whether it will ever recover or whether it will ever reach its old all-time high again. A passive ETF also carries very low management fees (TER) and is therefore well suited to long-term buy and hold. For more active traders in turn the risk of price gaps on earnings or single-company news largely disappears. For these reasons ETFs can be of interest to options traders too.

Yet no two ETFs are alike: SPY has one of the most liquid option chains in the world, a thematic ETF on humanoid robotics may have none at all. Between those poles sit several hundred US-listed ETFs on sectors, countries, bonds, commodities and factors. A screener that shows only price and return leaves several of an options trader's questions unanswered, for example: how much movement is priced into this ETF's options right now and is that a lot or a little for this particular ETF? Are the option chains reasonably liquid?

That takes metrics that classic stock screeners lack: Implied Volatility and its context through IV Rank and IV Percentile, realised or historical volatility as the comparison, the Expected Move as the translation of volatility into a price range, plus Open Interest and option volume as an indication of how liquid the traded options are. And because option positions are tied to dates, the next Ex-Dividend Date and the monthly expiries belong in the table too.

This guide describes what these metrics measure, how they are read together and where the data comes from. Every term is also defined in the Glossary and linked here. At the end you will find how the ETF heatmap with its screener is built in Foliograph and what it lets you do.

What an ETF screener shows and what a heatmap adds

A screener is a table with one row per ETF and filters above the columns. The basics are returns over several periods, plus price and, for example, category and fund assets. The table becomes useful only with a division into categories: broad US indices, size and style, dividend, sectors, sub-sectors, international, emerging markets, country, thematic, bonds and rates, commodities, agriculture, currencies, volatility, crypto, leveraged and inverse. That way the sector ETFs of the S&P 500 can be compared with each other, for instance, and a sector or even sub-sector rotation becomes visible even when the index itself barely moves.

A heatmap is the same table with coloured cells: returns green or red by magnitude, volatility figures on a single-hue scale. Colour lets you skim a hundred rows and spot outliers without reading every number. A tiles view goes one step further: as a Treemap (Tiles View), every ETF becomes a rectangle whose area matches its fund assets and whose colour shows the return. Large blocks are the ETFs where the money sits, small ones the niches.

Why options traders need additional metrics

Whoever buys or sells an option on an ETF trades not only price but also expected movement. The price of an option contains the implied volatility and that differs from ETF to ETF and from month to month. A return screener sees none of it. For option positions three questions matter: how high is the priced-in movement relative to the actual movement? Where does it stand compared with its own history? And how liquid is the option chain, so that the exit in particular stays possible at fair prices, even when the price moves more than usual or volatility rises sharply?

Then there is time. Options expire and the distance to expiry in days, the DTE, determines how fast time value decays. An ex-dividend date inside the option's lifetime affects the value of calls and puts and can raise the risk of early Assignment for short calls, especially when the call is in the money and its remaining time value is smaller than the expected dividend. A screener for options traders shows these dates as a column and lets you hide ETFs with a date within the next few days.

Volatility: implied, historical, their ratio and the 52-week context.
Liquidity: open interest, daily option volume, put/call ratio.
Dates: days to the next ex-dividend date, monthly expiries, IV term structure.
Context: trend position relative to the EMA21, distance to the 52-week high, fund assets.

How the volatility columns work together

Implied volatility on its own is a number without a yardstick. 18% may be a lot for SPY and perhaps little for a semiconductor ETF. That is why two context figures sit next to IV: IV rank says where the current IV lies between its 52-week low and high, IV percentile says on what share of the last year's trading days IV was below today's value. The two diverge when a single spike distorts the range: after a volatility burst the rank stays low for months even though the percentile is back in the middle. Seeing both columns side by side reveals such distortions immediately.

The second axis is the comparison with reality. Historical Volatility measures how much the price actually moved in the chosen window. The IV/HV Ratio sets the two against each other: a value above 1 means the options price in more movement than the price has recently shown, a value below 1 the opposite. The window of the historical volatility changes the reading: over 20 days it reacts quickly to a quiet week, over 60 days a burst from the previous month stays visible longer.

The expected move translates implied volatility into an expected price range: price × IV × √time gives approximately the movement that corresponds to one standard deviation. For choosing strikes, the expected move of the respective expiry is what matters most.

The IV Term Structure shows how high implied volatility is for different maturities. A markedly higher IV at near expiries can, for example, point to the market pricing in elevated movement or a specific event in the coming weeks.

Liquidity of the option chain

An ETF with a thin option chain is practically untradeable for option strategies, because the spread between bid and ask eats up any edge. Two figures give an indication of liquidity: open interest, the number of open contracts across single or all expiries, and Option Volume, the number of contracts traded per day. Both belong in the screener as a column and as a filter: a threshold on option volume hides ETFs whose chain is too thin. The actual bid-ask spread only shows in the option chain itself, high open interest does not rule out a wide spread.

The Put/Call Ratio comes in two variants. By volume it shows whether more puts or more calls were traded today, by open interest how the open positions are distributed overall. The ratio by volume jumps from day to day, the one by open interest moves slowly. For classifying an ETF both are only descriptions of activity and open positions, not a statement about direction, because every put traded has a seller on the other side.

Dates that affect option positions

For options on ETFs the ex-dividend date has a significance it does not have for the ETF position itself: for short calls in the money, the probability of early assignment rises shortly before the ex date because the holder can collect the dividend. A screener therefore shows the days to the next projected ex date, the amount and the amount as a percentage of the price and lets you hide ETFs with a date within the next few days.

Expiry divides the option chain into monthly and weekly contracts. For the term structure and the expected move over several horizons, the monthly expiries are used because they line up comparably across all ETFs. The price of the At-the-Money Straddle per expiry is the most direct measurement of the priced-in movement: call plus put at the current price cost roughly what the market expects in movement until expiry, without a detour through a model. This expected absolute move is somewhat smaller than one standard deviation, around 80% of it under a normal distribution.

Trend and distance as context

Volatility says nothing about direction. As context a screener therefore shows the position of the price relative to a moving average. The EMA21 on a daily and weekly basis is a common yardstick for that: instead of just showing above or below, a streak column counts for how many days or weeks the price has been on the same side. A second column gives the distance to the EMA21 in percent, so that a price just above can be told apart from one far above.

The Distance to the 52-Week High adds the view of the year: how far is the last close below the highest close of the last 52 weeks? An ETF near its high and one 30% below it may have similar one-month returns but a completely different starting point for volatility.

Country ETFs on the world map

One part of the ETF universe can be read on a world map as well as in a table: the country ETFs. Around 45 countries have a US-listed ETF that tracks the local market. A world map colours each country by the return of the chosen period and makes regional patterns visible that get lost in an alphabetical list.

Because all of these ETFs are quoted in US dollars, their return includes the currency effect. The Return Relative to a Benchmark subtracts the return of a reference index such as SPY or ACWI over the same period and shows which countries beat or missed the world market. A 30-day Correlation Matrix adds which country markets have recently moved together and which have not. The Holdings show what actually sits behind a country ETF, often a few large companies dominate.

Implementation in Foliograph

The ETF heatmap in Foliograph is exactly this screener: around 250 US-listed ETFs in 17 categories, with the column groups price, EMA21, distance, returns from one day to three years and Options / Volatility with IV, IV 1W, HV, IV/HV, IVR, IVP, EM, P/C Vol, P/C OI, OI, Opt Vol and Ex-Div. Above the table sit five threshold filters (IVR, option volume, IV/HV, EM, ex-div in days) that you can save as defaults, plus up to twenty saved screens with filters, categories, search and sort order. Favorites get a star. Because the screener lives in the same program as the journal, ETFs from your open stock and option positions carry a blue dot and the Positions chip filters on them.

A click on a row opens the chart panel with daily and weekly charts. It holds the expected-move cone built from the straddle prices of the next three, four or six monthly expiries, beneath it the IV and HV over 52 weeks with the IV high and low and next to it the IV term structure with one point per expiry. The ex-dividend date sits in the chart as a marker with the amount. The tiles view shows the same ETFs as a treemap by fund assets, compare mode overlays up to three ETFs indexed to 100. The world map with country ETFs, benchmark comparison and correlation matrix is its own tab next to it.

The data come from your own Trader Workstation through the Enable the TWS API. The ETF Vol Sync job loads one year of IV history on its first run and then tops up the missing days hourly, fetches the option statistics and the fund assets from the NPORT-P filings at SEC EDGAR. The tab bar shows the state of every data series, empty cells explain themselves in the tooltip. Everything runs locally on your computer, no cloud account.

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Frequently asked questions

What is the difference between IV rank and IV percentile?

IV rank measures where the current IV lies between the low and high of the last 52 weeks, IV percentile the share of trading days on which IV was below today's value. A single spike depresses the rank for months, the percentile barely. Seen side by side they show whether the range is distorted.

How is the expected move calculated?

As price times implied volatility times the square root of time in years. For 30 calendar days at 20% IV and a price of 100 that gives about 5.7%, one standard deviation. The cone in Foliograph's chart panel uses the actual straddle prices per monthly expiry instead while TWS is running and falls back to the IV formula otherwise. The straddle price equals the expected absolute move and sits around 20% below one standard deviation, so the cone is somewhat narrower than the EM column.

Why does the IV in the heatmap differ from the one in TWS?

The heatmap shows IBKR's 30-day volatility of the option chain as a daily history, TWS shows the model IV of individual contracts or a different aggregation depending on the window. For IV rank, Foliograph additionally filters the history in five stages against outliers and jumps, so the rank can also differ from another tool's value.

Are ETFs without an option chain shown?

Yes, they appear in the table with price, returns and trend columns. The options and volatility columns stay empty, the tooltip names the reason. The filter option volume at least hides them when only tradeable chains matter.

How often is the data refreshed?

Prices every ten minutes with the market data refresh, IV history, option statistics and fund assets hourly through the ETF Vol Sync job while Trader Workstation is running. Expected-move cone and IV term structure are fetched when the chart panel opens and cached for 15 minutes.

Why are fund assets missing for GLD or IBIT?

These ETFs are organised as grantor trusts and file no NPORT-P with the SEC. Foliograph takes fund assets from that filing, so the AUM column stays empty for them and their tile in the treemap gets the area of the median AUM of all displayed ETFs.

Can I add my own ETFs?

The ETF universe is built into the application and extended with updates. If an ETF listed on SMART in USD is missing, get in touch, support answers in German and English.

Terms on this page

Assignment (Option assignment)
At-the-Money Straddle (ATM straddle)
Return Relative to a Benchmark (Relative performance, vs SPY, vs ACWI)
Correlation Matrix (30-day correlation)
Country ETF (Single-country ETF)
Distance to the 52-Week High (52WH %, distance to the yearly high)
DTE (Days to Expiry)
EMA21 (Exponential moving average over 21 periods)
Holdings (Positions of an ETF, top holdings)
Ex-Dividend Date (Ex-div)
Expected Move (EM, one standard deviation move)
Expiration (Expiry)
Historical Volatility (Realised Volatility, HV)
Implied Volatility (IV)
IV/HV Ratio (IV/HV, IV-HV ratio)
IV Percentile (IVP)
IV Rank (IVR)
IV Term Structure (Volatility Term Structure)
Open Interest (OI, open contracts)
Option Volume (Opt Vol, average daily option volume)
Put/Call Ratio (P/C, put-call ratio)
Treemap (Tiles View) (Heatmap tiles, area chart)

All terms in the glossary

ETF Screener with Options Data: IV Rank, Expected Move and Put/Call Ratio at a Glance