Gamma sneak peek of delta and what does it mean?

Current IV Percentile on Charts

I use this Current IV percentile a lot from the trade page, and if you listen to Tasty Trade they have done a study where sell when the current IV percentile is over 50% your more likely to have a winner.

I found a post on Twitter about adding this to the chart page from @Ricksta about doing this in thinkscript what a great idea. Nicole from TD Ameritrade was great about getting me lined out on this and getting me in touch with David Kier. Here is what we came up with;

Here is the script;
#Current IV Percentile


declare lower;
def vol = ImpVolatility();
rec data = if !IsNaN(vol) then vol else data[1];
def hi = Highest(data, 252);
def lo = Lowest(data, 252);
plot perct = (data-lo) *100/(hi-lo);




You can look at the chart, IV, current IV percentile, and IV vs HV histogram all at one time. I find this handy when looking though a scan..

Theta (Time is Money)

Review An OTM Vertical Credit Spread

Setting Up an OTM Vertical Credit Spread PT 2

Setting Up An OTM Vertical Credit Spread PT 1

Tastytrade Natenberg Interview

Sheldon Natenberg


Great Interview with an author who is very knowledgeable about the way Tastytrade teaches to trade volatility.



Uploaded on Dec 6, 2011

Sheldon Natenberg, legendary author and head educator at Chicago Trading Company, discusses volatility, arbitrage and options trading with Tom and Tony

http://www.youtube.com/watch?v=Jg8oVObc4_g

Further reading start with the book
"Option Volatility Trading Strategies"

Then tackle
"Option Volatility & Pricing"