IVolatility.com - data and services usage: Advanced Options Page

Today we will give an extended overview of one of our most popular services - the Advanced Options Page

Advanced Options at a glance

The service has a very simple interface - you enter an instrument symbol and get a report on this instrument and its options. This report contains 3 sections:

  • Stock Data
  • IV Skew Charts
  • Option Data grid

The Stock Data section shown below gives basic information on the stock, such as price, volume �etc. and also displays current and several historical snapshots of the IV Index term structure.

Fig. 1. Stock Data section for IBM:NYSE, as of June 28, 2004 close.

You can see that the current snapshot of the IV Index for 60-180-day terms is slightly increasing with term - that is longer term options are more expensive. However the difference is not that large, so a short calendar spread is probably not a very good idea. On the other hand, 30-day IV Index is remarkably higher - so a long calendar spread on July & August or July & October contracts is worth considering.

IV Skew Charts section to the right of the Stock Data just presents two charts: Strike Skew (Implied Volatility vs Strike price) and Time Skew (the same vs days to expiry).

Fig. 2. Strike and Time Skew charts for IBM, as of June 28, 2004 close.

You see that the Strike Skew charts ("volatility smile") for July and August expirations are fairly symmetric - which means that there is no skew between Calls and Puts and the options are fairly liquid. Note that the Time Skew charts (strikes 85 and 90) confirm the IV Index term structure: large Implied Volatility values in the nearest month, then decline in August and then gradual increase again.

A couple of hints on IV Skew Charts section. First, a left click on the chart opens it in a new window of larger size, that's easy. You will get the same result by clicking on the chart link in the 'Expiry' table of the Option Data grid section (see below)

If you're looking for a Time skew chart for some specific strike you will need to adjust a few settings. By default the chart presents the first strike from the Option Data Grid so specifying moneyness is the simplest way. At the moment there is no easy way to specify a strike to be shown in a time skew chart, this feature will be available soon. For now you would need to do this - right click on the chart, click on Properties menu item and copy the URL to your browser address bar. All you need to do is change the number after the 'strike*' string. This will work only if you're subscribed to the Advanced Options service and you are on this page at the moment.

The last section - Option Data grid shows the most important parameters for each individual contract in the option chain. Among these are option closing bid / ask, volume, open interest, implied volatility and greeks.

Fig. 3. Option Data grid for IBM; two nearest expiries and strikes are shown.

In our next newsletter, we will explain how to use these parameters for trading and risk management purposes.

Finally, there is a very useful feature available for you in the Advanced Options Data page � ability to download data in MS Excel-compatible CSV file (using the "Download" link). Note however, that if you are interested in regular and / or historical data downloads, you'd better use our Data Download Wizard and Daily Updates Wizard services.

Intraday Data - coming soon!

Currently the Advanced Options Page is based on the end-of-day data. However, we are going to launch the intraday version of the service very soon. Keep an eye on our announcements!