sizing futures pair

[deonyang]

im trying to use IV to siziing my futures pair spread in TOS, but where can i look for Implied Volatility? Is it the Implied Volatility from Option Statistic?

 

[TradeCat]

This is a bad idea.

 

[1245]

im trying to use IV to siziing my futures pair spread in TOS, but where can i look for Implied Volatility? Is it the Implied Volatility from Option Statistic?

What are you going to do, use the ATM IV to determine the pair size? Not sure how that works, but add a column for option IV.

 

[JackRab]

Are you trying to find out the volatility of the pair trade? You probably have to calculate it yourself, but that will be hist vol.
I don't know how options IV will give you any insight in this... It will only give you the vol of one leg on it's own...

 

[Trader13]

You didn't indicate which futures you want to spread. But since you posted in the Index Futures forum, there is a good chance that the index futures spread you want to trade may offer margin relief if the exchange recognizes the spread. In this case, use the ratio specified by the exchange and forget about IV.

 

[Deuteronomy_24_7]

This is a bad idea.

Actually, it's a good idea. What would you propose he use instead?

 

[deonyang]

What are you going to do, use the ATM IV to determine the pair size? Not sure how that works, but add a column for option IV.

there's a option statistic on the bottom of option/future trade, it gives you the
52 week high vol
52 week low vol
IV percentile/IV rank
Implied Volatility/IV Index

im just wondering, am i correct by using Implied Volatility/IV Index?
Implied Volatility/IV Index is the measure of all the different expiration of stock option (average IV)

 

[deonyang]

Are you trying to find out the volatility of the pair trade? You probably have to calculate it yourself, but that will be hist vol.
I don't know how options IV will give you any insight in this... It will only give you the vol of one leg on it's own...

Isn't Historical IV only shows you the IV of the past? calculate myself that's huge amount of work.

 

[deonyang]

What are you going to do, use the ATM IV to determine the pair size? Not sure how that works, but add a column for option IV.

There's different expiration ATM IV, Im planning to use Implied Volatility/IV Index (average IV of different expiration option)

 

[deonyang]

This is a bad idea.

what do you recommend?