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IVolatility.com - data and services usage

We are opening a new series of newsletters, dedicated to site services and data usage. This first letter classifies and briefly describes the features available. Subsequent newsletters will describe services and features one-by-one, with the examples of using them in realistic trading strategies.


Broad classification of the site services

All the services available on site are divided into the following broad categories:

  • Trading Opportunity Finders
  • Analysis Tools
  • Data Access Services

This classification, although worded a bit differently, is available right on our homepage. Here, we’ll explain each category in a bit more detail.

Trading Opportunity Finders

These services allow you to scan stocks / options universe for an attractive trade. There is only one generic stock-level finder, the Advanced Ranker service. It ranks stocks by IV Index, HV, Call/Put IV Index ratio or Correlation to the main market Index. All these values are relevant when trading options or stocks; for example, Covered Call Write on a low IV Index stock might be not a bad idea. Briefly, this Ranker helps you with initial filtering of stocks of interest for further analysis.

The other two finders are option-level and designed for concrete option strategies: Strategist Scanner & Worksheets - Naked Put Write, Covered Call Write. Spread Scanner - almost any 2-leg option trade on a single underlying (vertical/calendar/diagonal spreads, straddles & strangles, etc.)

The first service (Strategist Scanner) operates in terms of expected profit and risk, and allows playing with input parameters in Strategist Worksheets part. The Spread Scanner, on the contrary, filters by legs’ Implied Vola and premium, as well as by difference/ratio in these values for spread legs. In addition, it contains many stock data filters narrowing the scan. The Risk Matrix feature allows you to see the position P & L over time under different levels of underlying price and Implied Volatility.

Analysis Tools

A group of services, useful for analyzing a single stock or stock list. The stock-level analysis tools are Stock Sentiment and Advanced Historical Data. The first one combines technical, historical and implied data to estimate the expected stock performance. Interactive Bollinger Bands calculator and Technical Analysis charts make it even more powerful. This service is a snapshot, while the history of most relevant indicators like IV Index, HV etc., is available in more detail in our Advanced Historical Data service.

Advanced Options Page (and its free Basic version) shows all the data you need for the option chain - closing bid/ask, Implied Vola, greeks, volume, open interest etc. The Strike & Time Skew charts allow for visualization of Implied Volatility pattern. The Basic Options Page shows only a limited set of options - nearest strikes and expiries.

My Favorites free service gives you an ability to compose stock lists, to be used in other site services. Moreover, you can monitor most important stock characteristics like price, front month IV Index, short-term HV, beta and correlation right here!

Finally, Live Calculator (and its free Basic version) allows you to calculate option’s IV and greeks or its theoretical value. You can use both exchange-traded options as well as ones with custom parameters like strike and expiry to price flex options. The difference between Live and Basic is that Live gets 20 minutes delayed stock price feed.

Data Access Services

If you didn’t find the service, which covers your needs, but have the in-house software, which needs input data - the Data Access Services is probably what you want. There are two services on the site for data access - Data Download Wizard and Daily Updates Wizard. The first one deals with historical data downloads, while second one allows for tuning regular daily updates. Four standard datasets are available in both of the services:

  • Individual Contracts IV data - basically, the same that you see in Basic / Advanced Options Page, but you can download it for more than one stock at a time here
  • Implied Volatility Surface data - Implied Vola, calculated for a set of normalized strikes and expirations. Makes comparison between different stocks easy, and provides a convenient input to different models. Not available anywhere else on site at the moment.
  • IV Index data - the composite stock-level Implied Volatility figure, calculated for several virtual expiries up to half a year. This value is shown and used in almost all the site services.
  • Historical Volatility data - always-useful reference figure, when dealing with Implied Volatilities.

You can find more details on the Data Access topic here: http://www.ivolatility.com/data/individual.html

Finally, if you need some custom data, not available through standard datasets, you can always contact us directly by e-mail. If we have what you need in our vast database, we’ll find the way to deliver this to you, sure!

How to use the services?

This is up to you, of course, but in our imagination it looks like this:

  1. You take one of the Trading Opportunity Finders (Ranker or any of the Scanners) and have a list of trading opportunities as a result.
  2. Using Analysis Tools, like Stock Sentiment or Advanced Historical Data, you check if these opportunities are indeed attractive.
  3. You may run your own model or trading system, not covered on our site. You feed the data into it using our Data Access Services as input to make a final check.

Of course, this scenario is quite simplified, but still gives the idea of how we understand the services usage. In coming letters we would provide the detailed samples of site services usage.

What else do we have?

We didn’t cover all the services available in this newsletter, due to its limited size. The following features are “off-screen”:

  1. EGAR Dispersion - this service allows to build a popular Dispersion Trading strategy, when you sell options on an Index, and hedge the trade by buying options on a selection of its components. The strategy is rather costly (as well as the service), so it typically fits for Institutional Investors only.
  2. Realtime services and data access - this is something entirely new to IVolatility.com; all the services (except Live Calculator) were using end of day data until now. The first services to use realtime are to be launched in the coming weeks - and of course we’ll dedicate a separate newsletter for this to keep you updated!
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