Option Scanners/Rankers

Discussion in 'Options' started by steve3052, Dec 5, 2006.

  1. I'm looking for an equity/index options scanner with as many of the following characteristics as possible:

    • quasi real time – 20 min delay maybe
    • percentile IV scans based on variable number of trading days
    • scan for IV less than a threshold percentage of historical volatility calculated over multiple time periods
    • scan continuously, alert when matches found
    • limit scan to watch list – say only ETFs and HOLDRs
    • specify whether scans will be on options bid, ask, or mid
    • programmable IV composite statistics – ATM only, volume/strike weighted, etc.

    Here are some of the kinds of scans I’d like to be able to run:

    1. scan for equities with IV in the 10th percentile over the last 500 days
    2. scan for equities with IV < 80% of 20, 50 and 100 day historical volatility
    3. scan for 1 and 2 all day, alert me when hit
    4. scan for indices/ETFs with IV in the 90th percentile based on the last 600 trading days
    5. run scans 1 through 4, first with IV calculated based on ATM options only, then volume weighted
    6. run scans 1 & 2, first based on the option’s mid price, then on the ask

    Based on a quick look I've taken so far, OptionVue seems to be the most powerful, but it's also one of the most pricey. There also appear to be some interesting offerings from ivolatility.com, poweranalyzer, optionetics platinum, etc. but before I spend a lot of time trying to evaluate them, I thought I'd run it by you guys and see if anyone can point me in the right direction given my criteria.

    Thx,
    -Steve