Intraday and overnight HV

Discussion in 'Options' started by stevenpaul, Aug 11, 2010.

  1. Hi,

    Jeff Augen, in his books on trading option volatility short-term, recommends differentiating between the intraday and overnight HV. He states that the stocks exhibiting considerably greater intraday HV than overnight HV make good candidates for leveraging increases in volatility through short-term straddles, strangles, and backspreads. How can we screen for stocks that present the highest ratio of intraday to overnight HV? Most screeners only give the close-to-close HV, lumping together the intraday with overnight. Do you know of a way to screen for the HV of specified timeframes?

    Thanks folks,

  2. Yes, keep track of the HV yourself. It is not that difficult. It just involves 10 minutes of work a day.