IV/HV options ranking

Discussion in 'Options' started by eutrader, Mar 9, 2006.

  1. eutrader


    Hi everyone,

    I am looking for a site where there is an IV/HV ranking of stock options.

    Before there was optionclub.com but for some reason this site has been removed from the web.

    I appreciate all input

  2. ivolatility.com
  3. Any free ones that anyone knows of? optionclub was excellent and was free... too bad it didn't survive.
  4. IB offers the scan through TWS.
  5. cnms2


  6. So for example, a portfolio of straddle trades based on a screen for high relative IV would tend to lose money based on your experience?
  7. cnms2


    If IV is in a high percentile of its past values there is no guarantee when and if it will drop.

    If it follows a pattern, i.e. it is before the earnings report, the IV raised as it did before past earnings reports, and in the past it dropped immediately after the report was issued, still there is no guarantee if and when it will drop again.

    You can play it, but better make sure you use stop losses and good money management.

    I'm not saying that "a portfolio of straddle trades based on a screen for high relative IV would tend to lose money", I'm saying that if applied mechanically or randomly, in long run it should have zero expectancy (ignoring slippage and commissions), in my opinion.

    IV is determined by the option's price, while HV is determined by the underlying's price action. The option's price is determined by the underlying's price (among others), but IV and HV don't correlate beyond chance.

    Some might disagree, i.e. McMillan in his Bible.
  8. just21


  9. very possible . Which vols is lagging and which one is leading here?
    In case of rising IV (without scheduled event date) , the HV will catch up after hidden news comes out, when stock moves and owner of short combo lose big on the "overvalue" ratio.
    besides , which HV to use , 10,20,30d ?

    IMO , only pre and after report IV action is cyclical/predictable (most of the times) , but its has nothing to do with HV/IV ratio.
    #10     Mar 10, 2006