IV Percentile and B/A Spread discrepancies

[Bodrey]

Hi Folks,

New to Options trading and IB's TWS platform. Today I tried to find a suitable stock to paper trade with and chose Nuan based on its high IV percentile and tight Bid/Ask spread per the Mosaic screener. However, you can see from the screenshot that there's a huge discrepancy between the results in the screener and what appears in the Options Chain. The IV Percentile in the Options Chain is 51.7% but according to the screener results it should be 92% for Nuan - a difference of 40.3% (white arrow). For the Bid/Ask Spreads in the Options Chain the difference is anywhere from 10 to 25 cents (red arrow) whereas according to the screener results it should only be 1 cent. Has anyone else encountered these kinds of discrepancies while using TWS?

 

[ET180]

IV shown on the options chain is the IV for that expiration. Each strike has an IV that is usually computed by one of two formulas. Then IB averages some number of strikes (not sure which it chooses) to get the chain's IV. Different expirations have different IVs. But IV is not the same as "52IVP" or IV Percentile.

 

[Bodrey]

Oh, great... so, if you can't get a current and accurate IV percentile using the "52 Week IV Percentile" filter what can you use instead? The "Option Implied Volatility %" filter doesn't rate IV on a scale of 1-100 ONLY. Higher is better, obviously, but without any context how do you determine if a stock's IV really is high relative to this filter's results? Or, is there some other filter in TWS that can be used in its place?

 

[ET180]

You can pull the historical IV through TWS API. That's what I do and then I calculate the IV Percentile for all the stocks and ETFs that I watch.

 

[Bodrey]

I'm not at all familiar with TWS' API; I don't know how to use it. Are you able to provide the steps or is there a how-to web article or video you can send me a link for to show me how to do the same? TIA.