I've searched but can't find a free source for raw IV Data. Ideally, I'm looking for a web service, or a "Click to download". I'd like to have it in table form. I also have another question, if someone is willing to respond. If HV is significantly higher than IV, and you anticipate HV remaining high, isn't this a clear buy opportunity? thanks
Found it, I can parse it per symbol here: http://www.ivolatility.com/options.j?ticker=GOOG&R=1 As for my second question, if High HV vs. Low IV, and expected high future HV is a good buy signal for directional calls/puts, I'd appreciate any thoughts.
i did post link to same website, but delete it later, since you are looking for free and downloadable data. ivolatility provide free data on next day, not for current day, no EOD either. i do have hist.IV for last 3-5 months,if you interested-PM me IB provide some IV by EOD, but not sure about quality http://www.interactivebrokers.com/optionsCommentary/index.php?ib_entity=llc
Hi neophyte High hv vs low iv. Is this a good signal to go long a call or put? Maybe, maybe not. I personally don't find hv useful. You are making a bet on iv going up. Hv only reflects the past vol of the underlying and does not figure in the option pricing model. Iv on the other hand is derived from the model, based on the other model inputs, and reflects the '"implied" or anticipated volatility of the underlying sometime in the future. If current iv is low then, assuming there is reversion to the mean, it should rise over time. The problem is you don't know how long it will take for iv to climb for you to make a profit on your long options - theta/time decay will work against you while you are waiting for your iv rise. Essentially you are placing a vega bet if you are only looking at iv. daddy's boy
Thanks for the responses. I think the prev day IV data should be sufficient, (if its seems worthwhile to pursue). I can programmitically make a request to the IVolaility site, and strip the necessary data from the response. If I can justify it in the future, I'll pay for their real-time data. My objective is too use the IV/HV as a parameter to calculate IV/MEV ("My Expected Volatilty"... not sure if this acronym exists already). Which is to say, if I think the stock will experience more volality than the market, the contracts look cheap to me. The core of my strategy is to find underpriced contracts, after abnormal moves. If MEV is much greater than IV, than this would be an additional flag. Any thoughts? Thanks again.