StockFetcher Forums · Filter Exchange · Historical volatility vs Implied volatility<< >>Post Follow-up
726 posts
msg #146779
Ignore graftonian
3/2/2019 1:41:09 PM

I've been searching for a way to approximate implied volatility, any ideas?
chart-time is 1 years
Average Volume(30) > 5000000
set{200dayhi, Historical Volatility(5,1) 200 day high}
set{200daylo, Historical Volatility(5,1) 200 day low}
set{hvr1, Historical Volatility(5,1) - 200daylo}
set{hvr2, 200dayhi - 200daylo}
set{hvr3, hvr1 /hvr2}
set{histvolrank, hvr3 * 100}
add column histvolrank
sort on column 5 descending
/*HULL MA */
set{slow1, cwma(histvolrank,15)}
set{slow2, 2 * slow1}
set{slow3, cwma(histvolrank, 30)}
set{valslow, slow2 - slow3}
set{hvrAvg, cwma(valslow, 5)}
draw hvrAvg on plot histvolrank

393 posts
msg #146781
Ignore Cheese
3/3/2019 3:26:08 PM


I have zero options trading experience, so I normally wouldn't post a reply.
I only research and respond to your inquiry in appreciation of the great stuff you've posted on Guppy.

I found this suggestion by future options trader Delta10 on how to estimate IV:
When trading future options, you dont have built in implied volatility .
You need to calculate the IV by calculating
(volaCloseToday - volaLowest-52weeks) / (volaHighest-52weeks - volaLowest-52weeks).
If the IVR is above 40%, then you should think about checking options premium, since premium is currently higher as in former days.
In order to see, whether the Volatility Rank is above 40, the color of the line is green when over 40 or red if IVR is under 40.

Please refer to this page by Delta10 for more info!/nWbMASLJ-Implied-Volatility-Rank-Indicator-IVR/

Hope this helps. Good luck, Graf.

393 posts
msg #146782
Ignore Cheese
3/3/2019 3:29:38 PM

chart-time is 2 years
set{200dayhi, Historical Volatility(5,1) 200 day high}
set{200daylo, Historical Volatility(5,1) 200 day low}
set{Delta10_numer1,Historical Volatility(5,1)}
set{Delta10_denom,Delta10_denom1 - Delta10_denom2}
set{Delta10_numer,Delta10_numer1 - Delta10_numer2}
set{Delta10_IV,Delta10_numer / Delta10_denom}
draw Delta10_IV LINE AT 0.40

726 posts
msg #146783
Ignore graftonian
3/3/2019 7:10:23 PM

Cheese, thanx for the reply (and the complement). The code in post 1 and your post are basically the same, and a great place to start.
At present I am attempting to download a watchlist from Tastytrade that has IV rank and see what the correlation is with historical volatility. Anty help is greatly appreciated.

393 posts
msg #146788
Ignore Cheese
3/4/2019 12:03:40 AM

Would this help ? These data can be downloaded for free.

Highest Implied Volatility Stocks Options
Highlights heightened IV strikes which may be covered call, cash secured put, or spread candidates to take advantage of inflated option premiums.

Highest Implied Volatility Etfs Options
Highlights heightened IV strikes which may be covered call, cash secured put, or spread candidates to take advantage of inflated option premiums.

726 posts
msg #146790
Ignore graftonian
3/4/2019 8:53:04 AM

Cheese, Thanks for the tip, I will certainly bookmark those pages

333 posts
msg #146818
Ignore nibor100
3/5/2019 12:05:56 PM


1. I went down this path a few years ago when I was studying Iron Condor trading and had bookmarked a bunch of sites that had somewhat useful info on historical and implied volatility.

My impression was that implied volatility is a forward looking derived/estimated number from option prices that continuously changes based on both stock market and option market evolving conditions.

2. However, here are a few of those sites for you to check out if you haven't already;

a. The first site above is from a guy studying historical vs. implied for their effects on covered calls and he provides all of the data he found on that webpage as well as his observed conclusions such as:

"In my experience, it is worthwhile to compare the implied volatility to historical, for which I tend to use the 10- and 30-day volatilities. It is helpful to know if IV is high, in line with historical, or even lower. But this is a relativistic measurement; the stock’s volatility level is meaningful in and of itself. The more volatile the stock, the riskier it generally will be for covered call writing.

... Therefore for me, the 10-day volatility is the more important number. In measuring whether implied volatility is in-line or not, it seems to correlate best with the 10-day stock volatility, as we would expect.

...It can take days and sometimes weeks to effect a meaningful change in stock volatility, but IV can change almost instantly as market makers adjust premiums upward to roll in higher perceived risk, or downward to recognize perceived lessening of risk."

b. The 2nd site above is from the CBOE training Ask The Institute video collection and it has a fairly good 6 minute video on the basic comparisons of historical vs. implied volatility.

with lots of related short videos on their main site.

c. The last site has a free downloadable Excel spreadsheet that will download a single stock's prices from Yahoo and calculate all of the historical volatility numbers you might want and graph their changes over time vs. the stock price changes over time.

I ran the spreadsheet today and it downloaded 3 years of IBM data from Yahoo in about 1 second with no problems. It defaults to the 2nd tab, the first tab is a Read Me file on how to use it.

3. I have a couple of other ideas that might be of interest to you but I'm not sure what the end goal of your desire to estimate implied volatility is which could be an important factor for me to consider.

4. When I was searching thru the SF forum for historical volatility I noticed that TRO in his reply to someone else seemed to change to 30 day historical volatilities in his provided filters so he may have preferred 30 day historical volatility for some reason.

Hope some of this is new to you,
Ed S.

726 posts
msg #146824
Ignore graftonian
3/6/2019 9:49:19 AM

Ed S,
Thanx for the reply, will check those sites. I opened a tastytrade account last December, and paper traded Iron Condors for 2 months. Even with serious blunders early on and a steep (near vertical) learning curve, I was able to achieve satisfactory results and a 28/11 win loss ratio.
The strategy seemed to simple: 1) Sell high IV 2) Credit at least 1/3 of the wing span 3) Manage at 50% of max profit. So, I started live trading with good results, however the IV in the market is dropping and good IC positions are hard to come by. Limiting my positions to 5% or less of my "bucket" has resulted in never being more than 50% invested, which prompted this thread.
In this low IV market I Have opened a couple of Calendar spreads. They are slow and boring, like watching paint dry. Too early to draw any conclusions.
But I ramble. Ed thanks again for the sites to check.

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