Interesting, It seems to me that this is what is being experimented with on one of RiskArb's threads here. I'll have to go back and read through it to see if I am missing some other criteria for the trades.
question for all you commodity traders. My software is showing a strong correlation between vol levels(both iv and hv) and price action in many commodities. I'm not sure if it's an anomoly or the norm. If it's the latter, wouldn't it be easier to trade vol in commodities? can anyone point me in the direction of some literature?
http://www.interactivebrokers.com/optionsCommentary/index.php?ib_entity=llc http://platinum.optionetics.com/cgi-bin/oamerge/stktables/oarank2yr
I don't follow RIMM, so for whatever it's worth: -Friday 3/19 close: $86.75 -earnings 4/6 -IV 45% recently 55-60%, 1yr 38-70% -IV increase expected in the next three weeks -TA: $80-83 long term resistance / support (also the 2001 high); all time high $95 Nov-Dec 04 (discounting one day higher spike ...) -Oct 05 reversal point to uptrend -last Thursday RIMM started a short term retracement (shooting star, volume, trend, divergences) -fundamentals: no clue -conclusion: -currently not a high probability long entry point: wait for an uptrend confirmation at $80-83 -as IV seems headed up pre-earnings, there might not be a good premium buying opportunity before 4/6
SLB CS ~ 127-130 (range). Keep an eye on it. Also on the keep an eye out for CS's on the indexes we should put a short term high (possibly longer term) this week.
What does CS stand for? SLB looks bullish, but I'd expect a short term small pull back ($121-122 level; strong support around $117), then wait for a bullish confirmation for a long entry. Its IV=31% is in its 1 year 50-60% percentile.
Hi cnms2, When you talk of iv which iv do you mean? For instance there is the iv of the specific option or the average iv of all the options or the iv of the atm options or the average iv of all the options that have 30 to 60 days (or 60 to 90 days, etc.) to expiry and so on. Cheers ra1 cnms2 wrote: "If IV is in a high percentile of its past values there is no guarantee when and if it will drop" and "-IV 45% recently 55-60%, 1yr 38-70% -IV increase expected in the next three weeks"
To approximate the percentile I use the 3mo/6mo/1yr IV charts provided by my broker. I don't recall exactly the formula used for this calculation, but it favors near the money, close expiration options. When I refer to a specific option's IV I use the value calculated from its mid point between bid and ask.