IV/HV on IB 's OptionTrader screen?

Discussion in 'Options' started by newguy05, Sep 2, 2010.

  1. Does anyone use the IV and HV on IB's option trader screen?

    The "Historical Volatility" and "Opt. Implied Volatility" columns under Statistics nugget. As well as the "Implied Vol." column in the actual Option Chains table.

    Are those reliable or just gimmick?

  2. stoic


    I'd Have to say somewhat interesting but for the most part like all the greeks "useless" (I'm sure I'll get some flack for that)
  3. I wouldn't say they're useless, maybe if you're trading 1 lots sure, put on a decent sized position and ignore vega and see what happens...anyway I'm not sure what model they are using, most likely just regular black scholes, I would have to say it's probably implied off of that model. Historic vol being calculated based on some amount of time (maybe 30 day)? I mean are you going to buy 300 vol in some pharmaceutical the day before it releases news? Most likely not, sure it could go to 500 vol but that just starts to get dicey...

    Also you could always trade just vol and hedge your deltas so that you have no directional risk (underlying wise).
  4. I've been looking at that market scan, specifically the low IV relative to HV, to spot long straddle candidates. I've been putting the tickers on a separate page and watching their IV for pops on subsequent trading days. When we get one, that would be time to buy the straddle. I haven't done this with real money yet, it's been OK on paper for the limited time I've been dabbling at it. What I really wish IB would give us (among other things) is the IV and HV's current percentile within their annual range. That would tell us much more than just what we can glean from IV being lower than HV.