I'm looking for a volatility scanner which can give me the following :
1) the volatility of this weeks ATM option (either call or put, don't care)
2) the vol of next weeks ATM option
3) diff between the two expressed as a percentage.
For example, let's take AAPL, and lets say the current date is Mon 18-May and the underlying is 311. I would want to know the vol for the 310 Call strike for options expiring Fri 22-May and 29-May, and if they are something like 40% and 30%, then for (3) above, I'd be expecting the figure to be 33% ((40-30)/30 ).
The scan needs to be run on a basket of underlyings, and throughout the day, based on real prices and not just EOD.
If it helps I have IB and Option Net Explorer, and I have some IT skills so happy to try and code something basic if needed.
Any ideas?
1) the volatility of this weeks ATM option (either call or put, don't care)
2) the vol of next weeks ATM option
3) diff between the two expressed as a percentage.
For example, let's take AAPL, and lets say the current date is Mon 18-May and the underlying is 311. I would want to know the vol for the 310 Call strike for options expiring Fri 22-May and 29-May, and if they are something like 40% and 30%, then for (3) above, I'd be expecting the figure to be 33% ((40-30)/30 ).
The scan needs to be run on a basket of underlyings, and throughout the day, based on real prices and not just EOD.
If it helps I have IB and Option Net Explorer, and I have some IT skills so happy to try and code something basic if needed.
Any ideas?