I'm currently in the process of building a trading method to backtest, which goes long stock, with an ITM put as protection. So if I go long 100 shares of XYZ at 50, and then simultaneously purchase a 55 or 60 put for protection, I'm then hoping the market will go up above my put protection strike price, while limiting my exposure to the downside. I'm not sure if what I'm looking for is called 'implied volatility' or 'historic volatility' etc. Would somebody please refer to me a website that monitors historical option volatility on the US stocks that have options/leaps. A website showing a daily list of the stocks with historically low volatility would be perfect. Thanks J
Are you backtesting this method? Software? http://www.historicaloptionsdata.com may have what you want.
I know you didn't ask this, but your method is EXACTLY the same as buying the XYZ call option (same strike as put you would choose). You can save expenses and work by simply buying calls, rather than stock and puts. You can check this site for historical STOCK volatility, but it only has current IV (curiv): http://optionstrategist.com/free/analysis/data/index.html NOTE: Implied volatility is about as high as it has ever been (except for the Oct 1987 period) and thus, it's going to be expensive to carry out your program. Mark http://blog.mdwoptions.com/options_for_rookies/
I appreciate everybody getting back to me with their thoughts. How did we survive before Elitetrader ????