how do I do a market scan to figure out a good straddle?

Discussion in 'Options' started by mizhael, Feb 19, 2009.

  1. Hi all,

    I am using InteractiveBroker's TWS platform. How do I do a market scan to find out the most expensive straddle that is currently available out from the universe of all available options? In general, which tool, software or website do you use for scanning the market out of all option universe?

  2. rluser


    You might try Not bad scanners.
  3. You do NOT want to pursue this.

    Implied volatility is high for a very good reason and you are looking to sell the most risky stock in the universe.

    Why do you want that risk?

  4. The service sounds interesting, and do you know the answers to the following questions:

    1. How did they calculate the "Prob Sum" value?

    2. What's the definition of return of a short straddle strategy?

    3. How to construct my own straddle/strangle with non-atm strikes?

  5. Thanks Mark!

    Well, I am just trying to experiment with a few strategies and get some observations.
  6. nome


    Don't be seduced by the high premiums from selling straddles. Always remember, you're taking on unlimited risk in both directions. If you really want to learn then start by selling 1 or 2 lots. Also you should be looking for high liquidity so you can get in and out easily. Don't just look for the most expensive.
  7. Don't worry. I am doing experiments and first of all need a good scanner.