Saturday, September 14, 2013

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..

Sunday, February 10, 2013

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

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

Then tackle
"Option Volatility & Pricing"