[QUESTION] - How Do You Measure When IV is High?

[Tall Mike]

For those of you who are options sellers, how do you know when IV is high?

Are you looking at Hist vol vs IV, some type of IV percentile over the last 52 weeks, etc?

Im trying to do some research on Iron Condor and short Strangle strategies but what might be a good criteria to have some idea of when IV is rich enough to sell them?

Thanks!

 

[ZBZB]

IVrank on thinkorswim or IB scanner or www.poweropt.com scanner

 

[Matt_ORATS]

Look at a combination of IV percentile, IV of the stock vs the most related ETF, IV vs forecast.
Below are a few that can be accessed in our API. You can set up an Excel sheet to bring in the numbers and sort them.

Our forecasts are a proxy for comparing the IV to HV or IV to IV.

 

[stepandfetchit]

For those of you who are options sellers, how do you know when IV is high?

Are you looking at Hist vol vs IV, some type of IV percentile over the last 52 weeks, etc?

Im trying to do some research on Iron Condor and short Strangle strategies but what might be a good criteria to have some idea of when IV is rich enough to sell them?

Thanks!

my 2 cents: -- BTW: I am not doing IC's as a stand-alone trade now. -- no interest in strangles.
1) IV is "high" when it is greater than it will be when you exit or close your position. (simple, but this should be kept in perspective)
2) Many observe the prion "n" months of IV and do an IV Rank to put present IV into a 1-year perspective, then enter short vega trades when IV is > than their threshold value under the assumption that IV is mean reverting and "should?" return to historic levels. - statistically this has merit in most cases.
3) The precise criteria will likely be derived from what you are personally comfortable with, as everyones' risk tolerance differs.