Current Implied Volatility and Implied Volatility percentile in tastytrade

J

JohnDoe

Hi all,

I've been following tastytrade and they make a lot of use of Current Implied Volatility and the Implied Volatility Percentile/Rank of a stock.

I think these are based on the VIX but as I'm a newbie I'm not too sure.

I'm also in the UK so unable to use the thinkorswim platform, instead I have just opened an account with Interactive Brokers. I can't find these two statistics anywhere and was wondering if any of you guys know if it is there in the IB platform or how I can calculate these numbers manually?

Thanks
 
^ Bump

Would also be interested if this is avaialble in TWS?

Also does the Option statistics and Delta figures blank out for anyone? It seems to work sporadically.
 
The cheapest place I have found where this data is available is here;

http://www.optionstrategist.com/calculators/free-volatility-data

It costs $24.95 a month and data is updated weekly.

I did not subscribe because the data was not in a very user friendly format. I could have worked out a system to get it into Excel but I had a ton of stuff on my plate and lost interest.

You can sign up for a free trial subscription for one or two weeks, I forget which, and see for yourself.
 
Does the Option statistics show up for you? Sometimes in IB it appears blank... same with Greeks. Is this a setting on my end?
 
For an overview of IV and HV history, this site might do the trick. They present the data from ivolatility.com without the &$(@)#* blinking ads that pollute the ivolatility site.

http://www.optionseducation.org/tools/historical_implied_volatility.html

As noted in posts above, you can also get a similar IV and HV chart underneath a price chart in IB TWS, but you have to click on those elements in the (individual) CHART PARAMETERS rather than GLOBAL CHART CONFIGURATION. There might be other ways to get IV and HV to display, but I cannot find them in GLOBAL CHARTS.
 
Quote from JohnDoe:

Hi all,

I've been following tastytrade and they make a lot of use of Current Implied Volatility and the Implied Volatility Percentile/Rank of a stock.

I think these are based on the VIX but as I'm a newbie I'm not too sure.


Thanks
More...

The IV percentile that you are asking about is actually based on the high and low IV of that particular underlying over a period of one year.
 
JohnDoe - I actually use this feature myself. It does not relate to the VIX.

This actually tells you the implied volatility for the underlying symbol that you are trading. The percentile gives you relative measure for where the IV is currently relative to where it has been.

If you know the IV percentile is high like 60% for example; you know the option price will be expensive so you may use a selling strategy that brings in more premium versus a buying strategy that would make the trade more expensive.

That is how you use this feature. Tom Sosnoff talks about this feature now at the Traders Expos/Money Shows if you ever go.
 
I generally like the mean reversion / percentile rank strategy, but have been wondering what is so special about a one year lookback period. In statistics, using more data is usually more better. Why not use all available data, even if it means going back to 1975 when a particular listed contract started trading?

Creating a percentile ranking based on the complete history of IV data would seem to give more "accurate" results.
 
There is nothing wrong with your argument but to play devils advocate.

Any data in the past does not guarantee future results. I think we can all agree that is 100% certain.

So if you had to put more weight on time based on macro environment would it be now or back in the 80s when CDs were paying 12% and mortgages were 14%?

But I get your point!
 
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