Thanks to you, in part - I think Matt owes you a finder's fee.
I remember you mentioning them WRT looking at skew, and that's exactly what I'm wrestling with now. Gotta say, these guys make it a lot easier than doing it by hand!
Drawing the volatility skew
- Thread starter KohPhiPhi
- Start date
Thanks to you, in part - I think Matt owes you a finder's fee.
I remember you mentioning them WRT looking at skew, and that's exactly what I'm wrestling with now. Gotta say, these guys make it a lot easier than doing it by hand!
Matt_ORATS
Sponsor
We measure how wide the bidIV - askIV is for every option and weight higher closer to ATM.
It is helpful to judge liquidity. The last row above notice how the Oct 7 expiry is the widest 0.4% while the Oct 21 monthly expiry is tightest.
We also have two constant maturity mwVols at 30 days and 2 years.
In the TradeBuilder tab you can graph the mwAdj30 (nice name I know) and see it is about 0.02%
The mwVol is also useful to observing market maker duress and is a good signal that the market is weakening.