Calculating VIX-like number for single names

MA of ATR

 

The delta between a MA of ATR, and the current ATR.

 

For more detail, note that in the terms: slope=(LowerAvgIV-UpperAvgIV)/(lowStrike-highStrike)

These are composed from the 4 option prices surrounding the SPOT price of the underlying. For the nearest strike above the spot, the IV of the PUT and CALL are averaged, hence "UpperAvgIV", and similar for the next strike down to compute the "UpperAvgIV".
# Average the Call and Put iv
LowerAvgIV=(ivcl+ivpl)/2
UpperAvgIV=(ivch+ivph)/2
While the IV of PUTs and CALLs are close (if the iv is derived correctly), there is still a small difference. If you observe the PUT and CALL IV being very different at near the money strikes, the derivation of the IV may be suspect.

You seem to be trying to light a candle in a tornado, and observing it gets blown out! -- 50cent strikes on a $4 underlying with the iv of adjacent strikes varying by about 2X! --

Would it be better to first use some "sane" product like SPX, or SPY, or AAPL to insure your algo makes sense first?

 

Sorry, I should have been more clear that I'm interested in implied volatility instead of HV.

 

Ok, thx, now I understand: you use 4 IVs, not 2 as I was assuming.
I'll try to replicate the result.

So, are you saying that there has to be just only 1 ATM IV regardless whether it's Call or Put, ie. a single ATM_IV valid for both Call and Put?
Ie. Call_ATM_IV = Put_ATM_IV ? Hmm... I think they are different, and IMO should be different. I mean each of Call and Put has its own ATM_IV.

Update: I see in the above formula CallIV and PutIV are added together and the avg is calc'd... I'll need some time to think about this approach, though I think Call and Put should not be mixed in that way, rather treated separate/independent for each. But OTOH it can also have some advantages. Hmm...

The data I used is real, it's the data of the underlying BBIG for its 2021-Dec-10 (weekly) options as of about 2021-Nov-09-Tu-142618-EDT (ie. I had saved its data as such; to be used for such tests).
Here the underlying data:

Code:

Ticker=BBIG File=BBIG_2021-12-10_as_of_2021-11-09-Tu-142618-EDT.json Spot=4.4000 ExpDateThis=1639094400 vExpDates(12): ...

vCall(17; ATM_IV=139.12% Klo=0.50(-88.64%) Khi=9.00(+104.55%)): { Strike=0.50 Last=4.35 Bid=3.40 Ask=4.75 IV=715.63% fITM=1 } { Strike=1.00 Last=3.60 Bid=3.40 Ask=3.60 IV=387.50% fITM=1 } { Strike=1.50 Last=3.15 Bid=2.72 Ask=3.20 IV=251.56% fITM=1 } { Strike=2.50 Last=1.89 Bid=1.50 Ask=2.35 IV=117.19% fITM=1 } { Strike=3.00 Last=1.62 Bid=0.42 Ask=2.67 IV=140.63% fITM=1 } { Strike=3.50 Last=1.11 Bid=0.87 Ask=1.18 IV=93.75% fITM=1 } { Strike=4.00 Last=0.84 Bid=0.83 Ask=0.91 IV=132.03% fITM=1 } { Strike=4.50 Last=0.63 Bid=0.64 Ask=0.69 IV=136.72% fITM=0 } { Strike=5.00 Last=0.55 Bid=0.50 Ask=0.55 IV=143.36% fITM=0 } { Strike=5.50 Last=0.48 Bid=0.36 Ask=0.45 IV=146.09% fITM=0 } { Strike=6.00 Last=0.35 Bid=0.33 Ask=0.38 IV=157.03% fITM=0 } { Strike=6.50 Last=0.29 Bid=0.23 Ask=0.34 IV=159.38% fITM=0 } { Strike=7.00 Last=0.25 Bid=0.17 Ask=0.43 IV=178.52% fITM=0 } { Strike=7.50 Last=0.21 Bid=0.18 Ask=0.26 IV=172.66% fITM=0 } { Strike=8.00 Last=0.15 Bid=0.17 Ask=0.24 IV=180.47% fITM=0 } { Strike=8.50 Last=0.23 Bid=0.10 Ask=0.34 IV=195.70% fITM=0 } { Strike=9.00 Last=0.16 Bid=0.12 Ask=0.24 IV=194.14% fITM=0 }

vPut( 13; ATM_IV=193.92% Klo=2.50(-43.18%) Khi=9.00(+104.55%)): { Strike=2.50 Last=0.11 Bid=0.05 Ask=0.12 IV=158.59% fITM=0 } { Strike=3.00 Last=0.17 Bid=0.06 Ask=0.59 IV=199.22% fITM=0 } { Strike=3.50 Last=0.30 Bid=0.24 Ask=0.39 IV=145.70% fITM=0 } { Strike=4.00 Last=0.57 Bid=0.21 Ask=0.85 IV=144.92% fITM=0 } { Strike=4.50 Last=0.48 Bid=0.78 Ask=1.69 IV=229.69% fITM=1 } { Strike=5.00 Last=1.28 Bid=1.20 Ask=1.27 IV=164.45% fITM=1 } { Strike=5.50 Last=1.60 Bid=1.57 Ask=1.73 IV=174.61% fITM=1 } { Strike=6.00 Last=2.11 Bid=1.99 Ask=2.22 IV=187.89% fITM=1 } { Strike=6.50 Last=2.51 Bid=2.41 Ask=2.73 IV=199.22% fITM=1 } { Strike=7.00 Last=2.76 Bid=2.88 Ask=3.05 IV=193.36% fITM=1 } { Strike=7.50 Last=3.43 Bid=2.15 Ask=3.90 IV=296.88% fITM=1 } { Strike=8.00 Last=3.67 Bid=3.90 Ask=4.00 IV=216.80% fITM=1 } { Strike=9.00 Last=4.82 Bid=4.75 Ask=4.95 IV=214.06% fITM=1 }

DBG: Spot=4.400000 IV1=136.719066 IV2=132.031590 IVmid=134.375328 K1=4.500000 K2=4.000000 Kmid=4.250000 mulfac=Spot/Kmid=1.035294 Call_ATM_IV=IVmid*mulfac=139.117987

DBG: Spot=4.400000 IV1=144.922150 IV2=229.687926 IVmid=187.305038 K1=4.000000 K2=4.500000 Kmid=4.250000 mulfac=Spot/Kmid=1.035294 Put_ATM_IV=IVmid*mulfac=193.915804

 

FWIW: I don't trade low priced equities, so my approach may not be optimal for those. Simple linear appx may not be adequate when the curvature of what you are fitting does not approach a straight line! My approach is meant to only fit my focus, not a generalized method.

 

Ok, understood. Thx.

 

Hi @Matt_ORATS again,
I think the 1-min offer for $199/mo sounds very interesting.
I downloaded the files and so far analyzed a little bit the 1-min file (strikes_202009021228.csv).
In that file there are 4213 tickers of underlyings.
I lately had inspected the options list at/of CBOE and their list (cboesymboldirequityindex.csv) has about 5890 tickers. So, then I wonder what kind of options are missing in your list, maybe ETFs? (I haven't analyzed it any further).

 

The number has grown. Now we have about 5400 symbols. I have a more updated link if you want to email me. All but a few delisted symbols are in there. Cboe list has untradable symbols in there. We are complete and we check ours against three data providers.