Volatility skew

Discussion in 'Options' started by DeltaDelta, Oct 1, 2005.

  1. I am relatively new in options trading, and have found that especially the volatility skew is a major factor in the pricing of options.
    I want to hear if anyone know of a piece of software that can show the volatility skew op an option in real-time. (an advanced excel sheet could suffice)
    I am looking for something like this: http://www.softcapital.com/video.asp?en (click on volatility smile)

    But the price of this software is out of my league, and I am looking for something with almost the same func. and preferably shareware, free :)

  2. Anyone familiar with option vue? Saw their banner on this page, and have been visiting their site, but it does not look like it contain skew graphs.
    Would like to hear from some users to have this confirmed.

  3. I use a DDE feed into Excel. What do you want to know ?
  4. I wonder if anyone actually making money by playing the vol skew. I personally had an excellent trades when I took the opposite position, buy current month and sell next one for upcoming event , especially when current month is at the week of expiration and most of softwares displaying "fake" IV numbers for couple of days before exp.
  5. Maverick74


    Optionvue does have skew graphs, very good ones at that. You can also customize your volatility skews on there very similar to the softcapital one. Of all the software out there in most ETer's price range, Optionvue probably has the best volatility modeling.
  6. Hello profitaker..
    Is this DDE-sheet something you have developed yourself and might want to share :) ( I do not excel in more advanced excel)

    I imagine that switching between stocks in Excel using DDE might be differcult, is that so.. I normally track 15-20 stocks.
  7. Hello Iv-trader

    What do you mean with fake Implicit numbers? I mean if there is a mispricing there is also an opportunity?
  8. pjbreen


  9. Use the same Close , Strike and ASK to calculate IV , but change the Days from 4 to 3 and you will get huge jump in IV. Is this real ? Just because the ASK stayed the same like yesterday ? That's how one can get the "fake" IV calcs , hence , the "fake" IV skew. Not sure how some software dealing with this issue , I calculate my own numbers.
  10. Juding you by the answers you gave I see you dont understand a lot about implieds (not trying to offend you) . If you change time to expiration and use the same bid and ask offcourse you will get a huge jump In implied volatility especially for the shorter term options and especially if you are near expiration. Ever heard of the rapid time decay of atm options when you are close to expiration? From a market maker point of view implied volatility is not important at all if you are near expiration. Its just logical thinking and how much risk you are willing to take.
    #10     Oct 1, 2005