« February 2011 »

IVolatility Trading Digest™

Volume 11, Issue 9
My Favorites

Trade selection using volatility as the primary criteria. Different trades for different volatility opportunities.
Please read IVolatility Trading Digest™ Disclaimer at the very bottom of this page

To add comments or to ask questions please click here (or use the blog "COMMENTS" link at the very bottom of the blog page).

My FavoritesSince we are often asked for an easy way to track volatility we are going to use this Digest to review one of our complimentary services offering convenient access to many volatility measures on a regular basis. Because we do not intend to keep this free service a secret any longer here is an expanded review of the data and charts available using "My Favorites".



My Favorites is a complimentary service allowing users to set up customized lists of stocks, indexes, or ETFs. You may create your own universe of underlying securities for analysis. For example, it could be your existing stock portfolio, or potential takeover candidates, or companies reporting earnings next week. In addition, for those who use our other services the list can be then used as the input data source for IVolatility.com's Rankers and Scanner analysis tools.  

Getting Started

Access to "My Favorites" is from the link on the left side of our home page, the second item listed in the column, under the heading My Services. For those who are not yet registered, it is the second item in the list under Analysis Services on the left side of our home page.

Here is the page view when it is first opened.



The selection tabs across the top start with Manage Favorites, then Analyze Favorites and Charts.

Beginning with Manage Favorites

Manage Favorites

At the start, the "Select favorite group" box will show Default. The first step is to create a name for your first group and enter it in the blank "Name" box at the left of "New Group" box. For example, we entered Digest 8 as our new group so we can follow the suggestions made in last week’s IVolatility Trading Digest Issue 8.



Then in the next section, labeled "Add symbols(s) to favorites" begin adding symbols to your named group. Further symbol classification is available by changing "ALL" to Europe, Canada or USA. Here is how it looks with the symbols from Digest 8 added.



Now with the symbols added the next step is to select the Analyze Favorites tab at the top.

Analyze Favorites

Here are the display preferences available for selection. For our Digest 8 example, we selected all of them.



When "GO!" is selected, the following data table is produced.



The Symbol, Price and Change columns are self-explanatory. The net column is the 10-day Historical Volatility for each respective symbol in the list, followed in the next column with the 30-day Historical Volatility. By comparing the 10 day to the 30 day, we can tell if the current rate of movement is increasing or decreasing. For example, the SPX is slowing down since the 10 day is 5.40% while the 30 day is 9.66%. From this list, the only one that is now increasing is SD as the 10 day is 38.55% while the 30 day is 34.29%.

The next column "30 D HV Hi/Low indicator" shows where the current Historical Volatility is relative to its 52-week range. For example, for both SD at .13 and PCS at .11 are both near the bottom of their 52-week ranges, while NVDA at .83 is very near the top of its range.

Next, "Correlation 30D" is the 30-day coefficient of correlation of each symbol in the list with the SPX, shown at 100%.

Moving on, “Beta 30D” is the Beta coefficient, or rate at which each listed symbol moves relative to the SPX, shown here at 1.00. For example, NVDA for the last 30 days has moved at a rate that is 2.62 times faster than the SPX. Beta is often used as a measure of risk relative to the market.

The next three columns are the important 30-day Implied Volatility measures, one for calls, one for puts and then the mean of the calls and puts.

Finally, in the last column we see where the Implied Volatility Index Mean is relative to its 52-week range. For NVDA at .42 we see it is below the midpoint of its range. We can also note by comparing the 30 HV in column 5 that it is currently above the Implied Volatility.

By clicking on any column heading rearranges their ranking order based upon the respective column heading.


The next tab in My Favorites is the charting feature. There are three available thumbnail charts with three chart types, Stock Price, Implied Volatility and Correlation and four periods from one to 12 months. In the example below, we entered NVDA for Stock Price, Implied Volatility and Correlation.



Clicking in the center of any chart will automatically open up the Basic Options data page for the symbol. Using NVDA as our example, here are the data tables from the Basic Options page obtained from clicking on the thumbnail charts.

Basic Options




The upper table includes the price, volume and open interest data. The second contains all of the volatility statistics and the third is the options pricing data for two months of the near-the-money options. Notice the small Price and Volatility charts on the right side of the second table. Clicking on the Price chart opens an enlarged price chart along with its volume.



Three periods, 3 month, 6 months or 1 year can be viewed by selecting the period in the parenthesis shown above.

Next when clicking on the small Volatility chart the following appears.




With the volatility chart, there are also three available periods and four volatility measures alternates available to be displayed. The example above shows the relationship between the Historical Volatility and the Implied Volatility Index Mean as well as options volume. If calls were more important, the IV Index Call implied volatility can be compared to the Historical Volatility, or the Put or the Call & Put can be compared to the Historical Volatility.  



My Favorites is a powerful package offering a cost effective data management capability with links to Basic Options data, price and volatility charts containing a wealth of complimentary stock and options data all available just by registering with us.


The CBOE Risk Management ConferenceThe CBOE Risk Management Conference will be Sunday, February 27 through Tuesday, March 1, 2011 at the St. Regis Monarch Beach Dana Point, California.

The IVolatility team will have a display set up in the lobby area to demonstrate our newest products and services. If you are planning to attend, please come to see us for a personal demonstration on how to reduce your overhead and make more money with our professional strength options data and analysis tools.


IVolatility.com Bookstore  In addition to the vast number of articles and other information on our web site, take a browse through our bookstore for more reference information and material.

Twitter Follow us on twitter for more ideas from our scanners and other developments.


In next week’s issue, we will return once again with specific trading suggestions from our ranker and scanner tools.



Finding Previous Issues and Our Reader Response Request

Next week’s issue All previous issues of the Digest can be found by using the small calendar at the top right of the first page of any Digest Issue. Click on any underlined date to see the selected issue.

As usual, we encourage you to let us know what you think about how we are doing and what you would like to see in future issues. Send us your questions or comments, or if you would like us to look at a specific stock, ETF or futures contract, let us know. Use the blog response at the bottom of the IVolatility Trading Digest™ page on the IVolatility.com Website. If you would like to receive the Digest by e-mail let us know at Support@IVolatility.com


This explanation is incredibly helpful;
Thank you!!!

Posted by Dennis Avner on February 27, 2011 at 04:01 PM EST


Thanks for the comment. We welcome everybody’s comments and questions about our website tools and data services. If something needs clarification, let us know and we will do an article on it.


Posted by Jacktrader ( on March 15, 2011 at 02:31 PM EDT

Permalink Comments [2]

Comments are closed for this entry.

IVolatility Trading DigestTM Disclaimer
IVolatility.com is not a registered investment adviser and does not offer personalized advice specific to the needs and risk profiles of its readers.Nothing contained in this letter constitutes a recommendation to buy or sell any security. Before entering a position check to see how prices compare to those used in the digest, as the prices are likely to change on the next trading day. Our personnel or independent contractors may own positions and/or trade in the securities mentioned. We are not compensated in any way for publishing information about companies in the digest. Make sure to due your fundamental and technical analysis homework along with a realistic evaluation of position size before considering a commitment.

Our purpose is to offer some ideas that will help you make money using IVolatility. We will also use some other tools that are easily available with an Internet connection. Not a lot of complicated math formulas but good trade management. In addition to Volatility we use fundamental and technical analysis tools to increase the probability of success and reduce risk. We prepare a written trade plan defining why the trade is being made, what we call the "DR" (determining rationale) and the Stop/unwind, called the "SU".