10 Tickers with the Highest and Lowest Put-Call Implied Volatility Ratio

Discussion in 'Options' started by Raltin, Dec 18, 2019.

  1. Raltin

    Raltin

    Raltin has a comprehensive list of features & factors that investors use in machine learning and quant models for investment and risk management. Raltin also utilizes these features to demonstrate to customers and other investors, on the power of these data sets to outperform market benchmarks. We tested thousands of combinations to see what signals show potential for outperformance. One high value and unique signal in our library is Put-Call Implied Volatility (IV) related metrics.


    The put-call implied volatility ratio helps identify a bearish or bullish signal coupled with direction of open interest and volume of the respective options, with the value being higher than 1 indicating that the put IV is higher than the call IV while a value less than 1 indicates vice versa. We, at Raltin identified tickers with the highest and lowest put-call implied volatility ratio based on 30 Day Expiry ATM taken on the 17th of December, 2019.



    Tickers with the Highest put call Implied Volatility Ratio
    [​IMG]




    Tickers with the lowest put call Implied Volatility Ratio
    [​IMG]


    Raltin Pro and other institutional clients get access to historical Put-Call Implied Volatility Ratios across all tickers and moneyness.


    Please email raltin@raltin.com for more details and demo of our features / factors and portfolio back testing technology.
     
    Last edited: Dec 18, 2019