Have you built anything of that sort. I have been recently trying to capture daily closes using a tick database (kdb) to analyze it on my own. Not quite getting reliable results yet...
Interesting!! For some time I have been working on my own time building a similar scanner to identify options with high IV (with objective to sell premium). I now have a program which downloads closing price for over 100 names and computes 10, 20, 50 and 100 day HV. Also it downloads prices for option chains, computes IV using Bjerksund and Stensland pricing (2002). Things work fine up to here fine. I am having difficulty though comparing HV with IV and determining which names are worth selling, the vols are not quite comparable. Is there a better way to do this? Appreciate if anyone could also advice on the day count conventions used - 250 vs 252 or 365( no holiday adjustment) for computing vol. I have switched between Bjerksund /Stensland with BS - they do not differ much - so most likely I am not messing up there. Please advice.
If you are looking to sell premium, then you may want to check out the coveredcalls.com site. Someone mentioned it in another thread. I have not used it. I think it is $10 a month.
Will it work with getting option with high $ premiums? I currently trade GOOG & AAPL for premiums. They have been great since they are weekly. I would like to find a way to find more candidates of options with large prem for ATM strikes. I can probably build one, but why if there is already something out there. Do you use SMF_addin? It is very handy for all kinds of Excel based utilities. Mel