can you get over/under-priced options out of TOS

[darp]

Hi Atticus,

Yes, general idea is to get ranking of all or sublist of stocks, for what the option models indicate are the most over and under priced, basically the IV being the highest over the HV or reverse.

I would use that as starting point. Avoiding drug trial type stocks, would pick ones that just seem over valued to be short, then hunt for what appears to be the most undervalued to hedge it with a long.

I just downloaded the free demo of Option Wizard® Scan which claims to do that, but have not tried yet.

I guessed that TOS would have this built in as they have so many more fancy things, but so far have not found it.

Cheers

 

[atticus]

Quote from darp:

Hi Atticus,

Yes, general idea is to get ranking of all or sublist of stocks, for what the option models indicate are the most over and under priced, basically the IV being the highest over the HV or reverse.

I would use that as starting point. Avoiding drug trial type stocks, would pick ones that just seem over valued to be short, then hunt for what appears to be the most undervalued to hedge it with a long.

I just downloaded the free demo of Option Wizard® Scan which claims to do that, but have not tried yet.

I guessed that TOS would have this built in as they have so many more fancy things, but so far have not found it.

Cheers

Ahh ok, not within a chain, but a dbase output on all tickers. ivolatility.com. AFAIK, TOS only allows scans on IV time skews (front/back vol diff), no stat vol queries.

 

[darp]

Atticus,

Yes. Am familiar with Ivolitity and have used them in past for other reasons. Nice folks may go back to them.

The livevol someone else mentioned does seem very capable looking at their demo.

The other one you mentioned will check out.

On Option Wizard® Scan anyone here use it? Is it good? They have no monthly fees it seems.

Cheers

 

[darp]

AFAIK = As far as i know, got u.

 

[darp]

Here is the short manual on http://option-wizard.com/scan/manual.shtml

I have not been able to get the trial to work yet, so will call them. But the manual indicates it does it. It appears to be new product for them. Will let you know what I find.

 

[atticus]

Quote from darp:

Atticus,

Yes. Am familiar with Ivolitity and have used them in past for other reasons. Nice folks may go back to them.

The livevol someone else mentioned does seem very capable looking at their demo.

The other one you mentioned will check out.

On Option Wizard® Scan anyone here use it? Is it good? They have no monthly fees it seems.

Cheers

I had a copy of option wizard some years back and really liked using it. It's a pretty capable add-in and better utility than the "tech hackers" stuff I had been using. I only use dbase for scanning macro conditions, so I am not up to speed on the current ASP stuff from ivol, etc.

 

[darp]

Thanks Attticus for review, will look into the Wizard folks more.

 

[spindr0]

Quote from darp:

It has worked so well so far do think luck is involved. How I see it is 2 out of 3. If both stocks sit still or move similar it makes $, If long does better, makes $, if short does better loses $.

What happens if you have a bearish position and both stocks move up? Or if bullish and both move down? Or where the one with a long call on moves down and the one with a short call moves down? If you are truly dealing with 2 different stocks then your short option is naked and that means much higher risk. Or do you mean something else when you say "both stocks"?

 

[darp]

Hi Spindr0,

I have been doing it with Calls as big crashes more likely than huge gains.

Being pick higher IV to sell and higher than HV, the short options tend to be 50% to 100% the price of longs, so on crash of both does very well. If stocks go up same, as more time value in short, it makes $, only if the short goes up significantly more than long or if short goes up and long down does it lose $.

Studies have shown 60-70% of stock movements are from the mkt not the stock.

The shorts have higher IV so mkt thinks they can go up more, but then again that is priced into them, so yes in a runaway bull it will lose money. But Jan has been very bullish and this has worked nicely in Jan.

An example did short APC against long NBL, NBL has done just a little better but due to IV, the hedge has made $ on both sides.

Statistically it makes sense to me, but will do small scale longer before putting more $s into it.

BTW have encountered a bug that Option Wizard is working on, so can not test right now.

Cheers