Valuable IV Rank thinkscript for TOS

S

smile

Tastytrade on their Dec. 19, 2013 Gamechangers show just put out a terrific video and thinkscript for TOS

https://www.tastytrade.com/tt/shows/game-changer/episodes/8141

You may have to sign up to tastytrade which is free to view the video.

The "meat" of the video starts at about 7 minutes.

The thinkscript plots IV rank on the chart so you know whether it's a good time to buy or sell options.

The thinkscript text attachment is on the right side of the video near the bottom.

IV Rank puts context around implied volatility for the past year by ranking the current iv% compared to where it's been in the past year.

IV Rank above 50% are good times to sell options. Higher ranks are even better because of the mean reverting nature of Implied vol.

IV Rank well below 50% may be good times to buy options.

This video introduces IV Rank:
http://www.youtube.com/watch?v=y6Ev4nZElDg


Many thanks to Tom, Tony and the whole Tasty trade crew for this. Also many thanks to D.C. for creating and sharing this thinkscript!
 
Quote from smile:

Tastytrade on their Dec. 19, 2013 Gamechangers show just put out a terrific video and thinkscript for TOS

https://www.tastytrade.com/tt/shows/game-changer/episodes/8141

You may have to sign up to tastytrade which is free to view the video.

The "meat" of the video starts at about 7 minutes.

The thinkscript plots IV rank on the chart so you know whether it's a good time to buy or sell options.

The thinkscript text attachment is on the right side of the video near the bottom.

IV Rank puts context around implied volatility for the past year by ranking the current iv% compared to where it's been in the past year.

IV Rank above 50% are good times to sell options. Higher ranks are even better because of the mean reverting nature of Implied vol.

IV Rank well below 50% may be good times to buy options.

This video introduces IV Rank:
http://www.youtube.com/watch?v=y6Ev4nZElDg


Many thanks to Tom, Tony and the whole Tasty trade crew for this. Also many thanks to D.C. for creating and sharing this thinkscript!
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That is a TERRIBLE way to look at implied vol. You know, Sosnoff is a smart guy and filthy rich now, I find it hard to believe he sells that indicator in the fashion he presented it.
 
Quote from Maverick74:

That is a TERRIBLE way to look at implied vol. You know, Sosnoff is a smart guy and filthy rich now, I find it hard to believe he sells that indicator in the fashion he presented it.
More...

Sosnoff wasn't much at the post. He started a brokerage. It's not as though he made the $75MM from trading.
 
Quote from newwurldmn:

It's a garbage indicator but lots of Sellside research peddle similar
Stuff.

If vol is high there is generally a reason.
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Name me one indicator that isn't garbage. Personally I like this indicator, wish IB would add it.

Doesn't mean I will blindly sell vol at 51% and buy it at 49%, but it's another tool for the toolbox.

Don't hate the indicator, hate the trader.
 
Quote from Strangler:

Name me one indicator that isn't garbage. Personally I like this indicator, wish IB would add it.

Doesn't mean I will blindly sell vol at 51% and buy it at 49%, but it's another tool for the toolbox.

Don't hate the indicator, hate the trader.
More...

My complaint is not that it's an indicator, it's the nature of ranking vol. There is some math here one needs to understand to completely comprehend cheap and expensive vol. Simply ranking vol as a percentile doesn't work. That was my beef. Vol has to be normalized as do ALL things when relative comparisons are made. There are secondary issues as well that make the readings not as accurate as you think.
 
Quote from Strangler:

Name me one indicator that isn't garbage. Personally I like this indicator, wish IB would add it.

Doesn't mean I will blindly sell vol at 51% and buy it at 49%, but it's another tool for the toolbox.

Don't hate the indicator, hate the trader.
More...

looking at IV percentiles is pointless. The market isn't stupid. Vols get bid for a reason. Without understanding the reason you are likely to blow up (at least on the selling side).
Every biotech name will eventually be in the 100th percentile. Does that mean you will be limit short?

Every risk arb name will be in the zero percentile. Does that mean you will buy all those options limit long?
 
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