Dear all, so is it possible to let me know whether there is any website or software that I can use to generate a list of options with high zeta, vega and theta? Thanks and cheers.
Optionetics had some nice options scanner; Also some basic scan is available on Yahoo and IB for free.
You don't need any special software to know which options have high vega, theta or any other greek for that matter. All Greeks are more or less a function of moneyness and time to expiry. ATM options have high theta and gamma. ITM have high delta, OTM have low delta. Options with more time to expiry have higher vega. And so on and so forth.