StockFetcher Forums · General Discussion · Implied Volatility<< >>Post Follow-up
salernie
2 posts
msg #34313
Ignore salernie
12/10/2004 9:26:25 PM

Hello Everyone,

I'm new here and have not yer grasped all of the available commands, measures, etc. From what I have seen there does not seem to be a measure available for tracking/plotting the Implied Volatilities of stocks or Indexes. It is very useful to be able to compare divergences between historical (statistical past) and implied (future as anticipated by options contracts pricing models) volatilities. Is anyone aware of some tool on SrockFetcher for working with Implied Volatilities? Of course, such a tool would only apply to optionable stocks, but that's mainly what i'm interested in.

Thanks in advance, Salernie.


james549
53 posts
msg #34317
Ignore james549
12/10/2004 10:47:40 PM

Hello Salernie,

Here is a filter from SF command web site.
Fetcher[Show stocks where the Historical Volatility(100,1) is below 10]



For more info - http://yepher.com/~yepher/stockfetcher/command.html


md11av8or
7 posts
msg #34318
Ignore md11av8or
12/10/2004 10:56:44 PM

Would there be a search to get the volatility skew between HV and IV ??

Thanks in advance.


salernie
2 posts
msg #34323
Ignore salernie
12/11/2004 10:06:29 AM

James, yes, SF provides the ability to scan for trends/changes to Historic Volatilty. Implied Volatility is really a different animal, calculated from pricing models of options contracts. Much more useful as a predictive gauge for market expectations.

md11av8or, yes, that's exactly the type of search I would like to co. It would be incredible to find stocks where HV was x% above or below IV (of at-the-money contracts). Good profits to be made from volatility skews.

Thanks again, Salernie.


StockFetcher Forums · General Discussion · Implied Volatility<< >>Post Follow-up

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