Option Skew

Discussion in 'Options' started by asdfghj7, Sep 19, 2009.

  1. I'm looking for a program or website that searches for the most extreme IV diffence/skews between ATM and OTM options in the same market. I'm wanting to find higher IV conditions in the OTM options and lower IV in the ATM options. The S&P 500 is usually the go-to example given in most trading books I've studied. Can someone point me in the direction of a website or program that searches for these criterias.
  2. Optionetics used to have something like that but they took it down.
    Check out McMillans site.
  3. nitro


    Would you be willing to pay for it?
  4. spindr0


    How much and where?
  5. Sweeeeeeeet. Thanks a lot, I really appreciate it.
  6. nitro



    Do you even know what you are asking for? That web site shows the difference between the IV of the call and the IV of the put of the same month/strike. That is not a skew scan.
  7. nitro


    It would be relatively easy for me to do something like this (although to make it look polished is quite more work), but I wouldn't do it for free.
  8. It's said that ideal ratio spreads occur when ATM options have lower
    IV's than OTM options. What program, tool, or website finds this situation and ranks the most extreme in terms of IV ratio where OTM are WAY overpriced in comparison to that same market's ATM options.
  9. nitro


    Ratio spreads are sensitive to skew, that is correct. But why do you think that website shows you that?

    The structure of the volatility curve for a given month is generally defined as the differences in IV between (say) the -20 delta puts and all the strikes to the +20 delta calls (skew is mostly of value for OTM strikes). This structuture can be flat, have a skew or smirk, or can be a smile.

    I suppose you can sort of use that website to lead you to look at a given curve using some other software, but the two strikes they give is nowhere near enough information, in particular since it looks like they are ATM strikes!!

    I don't know of any free service that does this. iVolatility probably has a for pay service that does it correctly.
    #10     Sep 20, 2009