List of all US options with ATM IV and whether Weekly/Monthly

thecoder

thecoder

Hi,
has someone got a recent list of all US options with ATM IV% and with a marking for Weekly/Monthly?
The lists at/from CBOE have the tickers and company names, incl. weeklys, but are w/o the IVs :-(

Ie. a list (CSV is ok) like:
Code: 
Ticker, Call_ATM_IV, Put_ATM_IV, Weekly/Monthly, ...
...
The IVs can also be averages over some # of days.

Actually I already have such a list, but only for Weeklys (about 634 tickers),
what's missing are the tickers that don't have any Weeklys (ie. the classic Monthlys).
 
Last edited:
Hey newwurldmn,
Implied volatility is so black-scholes.

I have a new model that is far superior and doesn’t even require strikes.
More...
your melody sounds like "Stolen from Africa, brought to America"... :-)
 
Update / New developments:
I'm hopeful to compile such a list myself and post it here tomorrow or so.
It will have all the 5869 or so tickers on the CBOE list.
 
newwurldmn said:
Implied volatility is so black-scholes.

I have a new model that is far superior and doesn’t even require strikes.
More...
The strikeless option revisited?

If IV goes to infinity an option doesn't require a strike anymore...
 
"Strikeless Options" is an unfortunate misnomer, it rather shall be called "AnyStrike Options" as the trader can specify any strike he/she wishes. This indeed works, I already tested it, but as said (in other thread) there is one last piece missing for which I at the moment don't have time due to other important stuff, so I postponed it for later. But it surely will come soon or later... Promised to friends & foes! :)
 
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thecoder said:
Hi,
has someone got a recent list of all US options with ATM IV% and with a marking for Weekly/Monthly?
The lists at/from CBOE have the tickers and company names, incl. weeklys, but are w/o the IVs :-(

Ie. a list (CSV is ok) like:
Code: 
Ticker, Call_ATM_IV, Put_ATM_IV, Weekly/Monthly, ...
...
The IVs can also be averages over some # of days.

Actually I already have such a list, but only for Weeklys (about 634 tickers),
what's missing are the tickers that don't have any Weeklys (ie. the classic Monthlys).
More...
We have this.
 
thecoder said:
Update / New developments:
I'm hopeful to compile such a list myself and post it here tomorrow or so.
It will have all the 5869 or so tickers on the CBOE list.
More...
Sorry, postponed to Fri or even Weekend...
 
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