Comments on: ATM and OTM Options http://ivanhoff.com/2010/02/20/atm-and-otm-options/ Just another WordPress site Thu, 08 Dec 2011 09:02:27 +0000 hourly 1 http://wordpress.org/?v=3.2.1 By: ivanhoff http://ivanhoff.com/2010/02/20/atm-and-otm-options/#comments-35 ivanhoff Mon, 22 Feb 2010 22:57:48 +0000 http://ivanhoff.com/?p=741#comment-35 Yes, I agree that it would be useful to have a screen that is showing which stocks' options contracts experienced the biggest 10-day IV spike over the past quarter or two. There is no such screen for the retail investor. OX offers screens for: - big daily change in IV, which reveals for which option contracts there was some serious demand ; - high IV/HV ratio (options that are typically much more volatile that the underlying asset) Yes, I agree that it would be useful to have a screen that is showing which stocks’ options contracts experienced the biggest 10-day IV spike over the past quarter or two. There is no such screen for the retail investor.

OX offers screens for:
- big daily change in IV, which reveals for which option contracts there was some serious demand ;
- high IV/HV ratio (options that are typically much more volatile that the underlying asset)

]]> By: Fred http://ivanhoff.com/2010/02/20/atm-and-otm-options/#comments-34 Fred Mon, 22 Feb 2010 22:44:39 +0000 http://ivanhoff.com/?p=741#comment-34 Thanks...obviously IV would not be the only basis for an investment but if you are relying on it as a lever, the bigger the pop the better. There are the usual suspects like aapl and amzn who you can be fairly certain of a nice IV move but would be nice to have a screen to expand that list. Thanks again for the response. Thanks…obviously IV would not be the only basis for an investment but if you are relying on it as a lever, the bigger the pop the better. There are the usual suspects like aapl and amzn who you can be fairly certain of a nice IV move but would be nice to have a screen to expand that list.

Thanks again for the response.

]]> By: ivanhoff http://ivanhoff.com/2010/02/20/atm-and-otm-options/#comments-33 ivanhoff Mon, 22 Feb 2010 22:29:28 +0000 http://ivanhoff.com/?p=741#comment-33 The big majority of options' IV tends to increase in expectation of the earnings' report. All you need to know is when is the company of interest going to report and buy premium 2 weeks before the report if you have a directional bias. I wouldn't recommend you to rely solely on the rise in IV in order to profit. It is preferable to get some positive action from delta too. Back to your question. There is no such tool that I am aware of. We don't know in advance which options' IV is going to increase by 30% in expectations of earnings or by 150%. Past pre-earnings action is our only source of information. And then again, don't rely that the IV of certain ATM option will act the same way as it did in the previous quarter. This will depend on investors current sentiment towards the stock, the industry it belongs to and the market in general. The IV of one option moves up when the demand for that particular contract increases substantially. What we know for sure that the demand will increase 10 to 20 days before the earnings report and it will peak minutes before that report is released. We don't know by how much IV will increase. We could estimate based on past IV action, but it will just be an educated guess. This is why is always preferable to have two engines to rely on - delta and vega. The big majority of options’ IV tends to increase in expectation of the earnings’ report. All you need to know is when is the company of interest going to report and buy premium 2 weeks before the report if you have a directional bias. I wouldn’t recommend you to rely solely on the rise in IV in order to profit. It is preferable to get some positive action from delta too.

Back to your question. There is no such tool that I am aware of. We don’t know in advance which options’ IV is going to increase by 30% in expectations of earnings or by 150%. Past pre-earnings action is our only source of information. And then again, don’t rely that the IV of certain ATM option will act the same way as it did in the previous quarter. This will depend on investors current sentiment towards the stock, the industry it belongs to and the market in general.

The IV of one option moves up when the demand for that particular contract increases substantially. What we know for sure that the demand will increase 10 to 20 days before the earnings report and it will peak minutes before that report is released. We don’t know by how much IV will increase. We could estimate based on past IV action, but it will just be an educated guess. This is why is always preferable to have two engines to rely on – delta and vega.

]]> By: Fred http://ivanhoff.com/2010/02/20/atm-and-otm-options/#comments-32 Fred Mon, 22 Feb 2010 21:46:49 +0000 http://ivanhoff.com/?p=741#comment-32 Is there a tool to identify options that tend to have a higher IV increase during earnings? Is there a tool to identify options that tend to have a higher IV increase during earnings?

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