StockFetcher Forums · General Discussion · Implied Volatility<< 1 2 >>Post Follow-up
no4j
45 posts
msg #36224
Ignore no4j
6/6/2005 9:12:15 AM

OK. So I'm an options player. I'm looking for a filter to return a dip in implied volatility (same time frame as used to determine option prices). That's the missing piece (right now).

Thanks

Dave


xplorer
257 posts
msg #36232
Ignore xplorer
6/6/2005 4:48:27 PM

...what is "implied volatility" ?


no4j
45 posts
msg #36235
Ignore no4j
6/6/2005 6:13:27 PM

Well, I think it is simply volatility. But I'm not sure what time fame is used. One of the factors involved in pricing options is volatility of the underlying stock. They call it implied volatility. I haven't been able to find a volatility settint that will match up with it, so I'm not sure what it is.

Dave


xplorer
257 posts
msg #36238
Ignore xplorer
6/6/2005 9:12:20 PM

... can you point to a chart that has the characteristics you are trying to screen for ? ... tell me the symbol, and the date you are seeing the traits you want and I'll give it a shot...

I did look at volatility and came up with this as start:

Fetcher[
RVI(14,10) is at a 30 day high and
RVI(14,10) is less than 45 and
draw RVI(14,10)
]




BigOh
23 posts
msg #36242
Ignore BigOh
6/6/2005 10:48:20 PM

no4j,
I'm not sure you can get a good measure of IV from Stockfetcher. Of course I'm kinda new to trading options myslef but unless you can explain how to determine IV from the actions of the stock and how to forecast it, I'm not sure anyone can really help with it.


BigOh
23 posts
msg #36243
Ignore BigOh
6/6/2005 10:54:05 PM

xplorer,
Implied Volatility or IV is used to determine an options premium, often through a model like "Black Scholes". Of course it can be flawed since Black Scholes assume that IV doesn't change very much, if at all. Heres a good link for some info on IV.

http://www.investopedia.com/terms/i/iv.asp


alf44
2,025 posts
msg #36244
Ignore alf44
6/7/2005 1:08:37 AM

there is no way to scan for "IMPLIED" volatility within SF ! Can't be done ! imo

You can approximate Implied Volatility through an in depth study of Historical Volatility (that is calculating past historical closing prices of a security and using an options pricing model to come up with some annualized % of volatility based on standard deviations). Then plugging this historical volatility number into an options pricing model...you derive some Theorhetical Value of an option (ie. is the option considered to be cheap or expensive based on your Theorhetical Value calculations).

Implied Volatility is the actual volatility that is being priced into the option at any given time and it is ever-changing !

How on Earth could StockFetcher possibly scan for that ?


Regards,

alf44





no4j
45 posts
msg #36245
Ignore no4j
6/7/2005 8:52:37 AM

All of you guys, thanks. Great info. OK, given that options are priced, partly, on something we cannot scan for, I'd still like to find options priced under their "Theorhetical Value" (they are out there). I guess I want to make bricks without straw.


no4j
45 posts
msg #36248
Ignore no4j
6/7/2005 9:02:40 AM

Another thought. I'm hung up on trying to find "cheap" options based on Theorhetical Value. Is that even important? If I am playing short term (less that 2 weeks), does it really matter? Will the option find it's way back to Theorhetical Value (costing me money) or always be over-priced? At least for the very short term.

It's just that I hear everywhere that if you are going to play options, you need to buy over-priced and sell under-priced.

Confused, sort of.

Dave


alf44
2,025 posts
msg #36249
Ignore alf44
6/7/2005 1:06:42 PM

"buy overpriced options" and "sell underpriced options" ?

With all due respect...I think you have that backwards.

You should always try to BUY options that are UNDERPRICED (ie. cheap) and SELL (ie. write) options that are OVERPRICED (ie. expensive). imo


Good Luck,

alf44







StockFetcher Forums · General Discussion · Implied Volatility<< 1 2 >>Post Follow-up

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