Case study
A high IV percentile caught your eye. What should you check next?
A stock's options sit near the most expensive they have been all year. That is where a question starts, not where it ends. Here is one path through it in Options Meerkat, a step at a time, on one stock: Stryker (SYK).
The data: the close of Friday, October 23, 2026, four sessions before Stryker's third-quarter report. Every number on this page comes from that close. The answers the dashboard plays with each step were recorded then, from the same data; the dashboard around them is live. What happened after the report is left out on purpose: the point is the checks, not the call.
Recorded answers from the close of October 23, 2026, played on the live dashboard.
-
Step 1 of 5 · The list
Find the names at the top of their own range
“Which stocks over $100 billion have the highest IV percentile right now? Show their IV, realized vol, and next earnings.”
The IV percentile counts the days of the past year whose 30-day at-the-money implied volatility was lower than today's. At 99, options have been cheaper on 99 days in 100. It compares a stock only with itself: 40% is high for a medical-device maker and low for a chip designer. (IV rank and IV percentile)
Stock IV pctile 30-day IV Realized 20d Reports MPC 99.6 54.8% 35.2% Nov 3 SYK 98.8 39.7% 28.1% Oct 29 TMUS 97.5 40.9% 64.1% Oct 28 PSX 96.3 44.5% 28.5% Oct 28 BKNG 96.3 47.2% 27.2% Nov 3 The first thing the list says is that every one of these reports earnings within two weeks. A high percentile this close to a report is mostly the calendar talking. The second is that they are not alike: TMUS's options are priced below what the stock has moved lately (it fell from about $159 to $147 on Friday), while the others are priced well above it. We follow SYK.
-
Step 2 of 5 · The calendar and the stock
Check the earnings date, and IV against realized
“SYK's IV percentile is near the top of its year. When does it report, and how does its 30-day IV compare with its 20-day realized volatility?”
- Reports
- Thu, Oct 29, after the close
- 30-day IV
- 39.7% (year range 16.1–42.4%)
- 20-day realized
- 28.1%
- IV ÷ realized
- 1.41
- Last four reports
- 5.2% average move
Options are priced at 1.4 times the volatility the stock has actually shown over the past month. On its own that reads as rich. But the report falls inside the next 30 days, and a 30-day IV carries the report's whole jump: the realized volatility of a quiet month has none. So the gap is expected. The question becomes how much of it the report explains, which the next step answers. (Implied vs realized volatility)
-
Step 3 of 5 · The term structure
See which expiries carry the high IV
“Chart SYK's term structure. Which expiries carry the high IV, and how much of it is the earnings report?”
Expiry Days ATM IV Nov 20, 2026 26 40.4% Dec 18, 2026 54 36.8% Jan 15, 2027 82 34.8% Mar 19, 2027 145 34.6% Jun 17, 2027 235 33.6% The high IV sits in the front: November, the first expiry after the report, at 40.4%, then a steady slope down. Both November and December span the report, so the difference between them can be split. Suppose a stock has one volatility for its ordinary days and one jump for the report. Then their variances (IV² × time) give the ordinary volatility as about 33%, and a one-day standard deviation for the report of about 6.2%. That is an average move of about 4.9%, close to the 5.2% of its last four reports.
So the report is priced about where its past reports landed, and it is what lifts SYK to the very top of its range. It is not the whole story: without the report, its options would still be priced near 33%, above the 28% the stock has realized and higher than on 85% of the past year's days. (Term structure, the IV crush)
Not every high percentile looks like this. MPC's curve, the top of the list, ran at about 50–55% from November all the way out to 2028: no front-month bump to explain it. Something other than one report is priced there, and step 5 is about finding out what.
-
Step 4 of 5 · A trade, measured
Compare a strategy's max loss, breakeven, and scenarios
“Compare a put credit spread on SYK in the Nov 20 expiry, which spans the report, with the same spread in December: max loss, breakevens, and the P/L if the stock moves 8% either way.”
A put credit spread sells a put and buys a cheaper one below it: it collects premium, wins if the stock stays above the short strike, and can lose no more than the width less the credit. Here, the 290/280 spread with SYK at $307.15, priced at the mid, per spread, at expiry:
Expiry Credit Max loss Breakeven At −8% At +8% Nov 20 $250 $750 $287.50 −$492 +$250 Dec 18 $285 $715 $287.15 −$457 +$285 The two are closer than the term structure suggests. November's puts carry the higher IV, but December's have four more weeks of time, so December collects $35 more and risks $35 less. Both hold the report. An 8% drop, half again SYK's average report, leaves either one down about two-thirds of its maximum loss; the risk is two and a half to three times the credit. And the mid is a hopeful price: these puts' bid-ask spreads are wide. (Credit spreads and iron condors, chance of profit)
-
Step 5 of 5 · The edge of the data
Name what these numbers cannot tell you
“What can't SYK's IV, realized vol, and term structure tell me about the report and what comes after it?”
- Which way, and how far. IV prices the size of a move, not its direction, and the past four reports say nothing certain about the fifth.
- Why. Guidance, margins, a product recall, a policy change: none of it is in a volatility. For MPC's high curve, the reason is in the news, not the chain.
- The reaction after. How fast IV falls once the report is out, and whether the stock gaps once or drifts for weeks.
- Who is positioned. Volume and open interest show that trades happened, not who made them or whether they hedge something else.
- Your fill. Quotes are about 15 minutes delayed, and a mid is not a price you are promised.
- Your situation. What the rest of your account holds, and how much of it you can lose.
The data narrowed the question from “options look expensive” to “the report is priced about like its past reports, and this spread risks about three times what it collects to find out.” What to do with that is a decision the data does not make for you.
-
Your turn
Ask your own questions
The same path works on any symbol of the S&P 500 or the Nasdaq-100. Open the dashboard, sign in free, press @, and ask Meerkat:
Sign in free and ask Open the dashboard
More case studies: deep put blocks · an earnings report · dealer gamma · the wheel, backtested
Click a question to copy it. Nothing on this page is investment advice; options can lose their whole value quickly.