Historical Options Chain, greeks and IV

#31
Hi all,

I was not active for a long time. Sorry for the delay. I've made some changes to the tool and working on improving it. Unfortunately it required a lot of time and I am not able to dedicate it due to my job.

Here is the screenshot of the changes:

View attachment 33949

Changes made:
  • Layout
  • Inclusion of probability of profit, IV rank and IV Percentile
  • Choice to turn the greeks on and off
  • Ditched Garch as it was un-reliable and adopted IV.
  • Model used is Black76 to account for any upcoming dividends
  • Term MIBOR as the risk-free rate
Some things are still incomplete as you can see.

Keep in mind that Godaddy is shitty as hell. I have their Deluxe hosting and their database connection keeps timing out when we check options chain for equities (as it is a huge database). The tool works fine on my laptop though.

For the time being I've gone ahead and uploaded it online for everyone to see. The data is available for every FnO contract but it may only show it for NIFTY and BANKNIFTY. The data for Stocks might not load because of the stupid slow services of Godaddy.

I can post the URL here if that is okay with the mods (fear of being marked as a spammer).
Please post the URL
 
#32
Hi all,

I was not active for a long time. Sorry for the delay. I've made some changes to the tool and working on improving it. Unfortunately it required a lot of time and I am not able to dedicate it due to my job.

Here is the screenshot of the changes:

View attachment 33949

Changes made:
  • Layout
  • Inclusion of probability of profit, IV rank and IV Percentile
  • Choice to turn the greeks on and off
  • Ditched Garch as it was un-reliable and adopted IV.
  • Model used is Black76 to account for any upcoming dividends
  • Term MIBOR as the risk-free rate
Some things are still incomplete as you can see.

Keep in mind that Godaddy is shitty as hell. I have their Deluxe hosting and their database connection keeps timing out when we check options chain for equities (as it is a huge database). The tool works fine on my laptop though.

For the time being I've gone ahead and uploaded it online for everyone to see. The data is available for every FnO contract but it may only show it for NIFTY and BANKNIFTY. The data for Stocks might not load because of the stupid slow services of Godaddy.

I can post the URL here if that is okay with the mods (fear of being marked as a spammer).
Hi all,

Here is the link to try: http://chain.optionsnexus.com

Please note:
  • Access it only on Chrome as I haven't tested cross browser compatibility
  • View it on desktop/laptop as it's currently not fully optimized for small screens
  • Accessing Stock chain might not work because of Godaddy's restrictions in accessing large databases
  • IVR/IVP Data is only available from Dec 27, 2017
  • Other data available from Jan 1, 2017
I can easily make all the data available for all since 2012, however, the database would increase and it needs dedicated servers. I have the ideas to build a lot of other useful tools to integrate, but it would require time.

The daily EOD data would be available by 07:00 PM IST. Hope you find it useful.
 
#33
Hi all,

Here is the link to try: http://chain.optionsnexus.com

Please note:
  • Access it only on Chrome as I haven't tested cross browser compatibility
  • View it on desktop/laptop as it's currently not fully optimized for small screens
  • Accessing Stock chain might not work because of Godaddy's restrictions in accessing large databases
  • IVR/IVP Data is only available from Dec 27, 2017
  • Other data available from Jan 1, 2017
I can easily make all the data available for all since 2012, however, the database would increase and it needs dedicated servers. I have the ideas to build a lot of other useful tools to integrate, but it would require time.

The daily EOD data would be available by 07:00 PM IST. Hope you find it useful.
So Godaddy forcefully removed my database for violating their disk space guidelines. Till the time I look for a new webhost, the tool wouldn't work. :(

Would keep you guys posted.
 

mohan.sic

Well-Known Member
#34
Hi all,

I was not active for a long time. Sorry for the delay. I've made some changes to the tool and working on improving it. Unfortunately it required a lot of time and I am not able to dedicate it due to my job.

Here is the screenshot of the changes:

View attachment 33949

Changes made:
  • Layout
  • Inclusion of probability of profit, IV rank and IV Percentile
  • Choice to turn the greeks on and off
  • Ditched Garch as it was un-reliable and adopted IV.
  • Model used is Black76 to account for any upcoming dividends
  • Term MIBOR as the risk-free rate
I can post the URL here if that is okay with the mods (fear of being marked as a spammer).
Bro,

Iv rank, iv percentile, ewma of iv ………..I fail to understand why these are so much emphasized. :confused::confused:
As a trader my job is to predict next market move and to take a trade accordingly.
So I want to understand how these iv rank, iv percentile, ewma of iv etc are useful in predicting market direction. Like if iv rank behaves in this way- market will move up/down or like if iv percentile goes up market will react this way....Basically how to use these tools for trading..
 
Last edited:
#35
Bro,

Iv rank, iv percentile, ewma of iv ………..I fail to understand why these are so much emphasized. :confused::confused:
As a trader my job is to predict next market move and to take a trade accordingly.
So I want to understand how these iv rank, iv percentile, ewma of iv etc are useful in predicting market direction. Like if iv rank behaves in this way- market will move up/down or like if iv percentile goes up market will react this way....Basically how to use these tools for trading..
As a trader my job is to predict next market move and to take a trade accordingly.
- This statement would maybe not be appropriate for some other type of traders, such as market makers or option sellers. What do you think??? :confusedd::confusedd:

Maybe as an option seller (even I am a trader, no?) my job is not to predict the market moves because I believe they are random, and I don't know if the market would go up, or down in the short term. How would then I profit? There has to be another way than timing the market.

That said, IV is implied volatility based on the current option prices. It means that the actual prices of options are more than the theoretical price predicted by an option model. Or, the insurance premium is high. Why would that be?

Because generally people in the market are believing that in the short term, it would be volatile markets and are ready to pay more premium. Does it always happen?

NO- historically, the actual/realized volatility has been less than implied volatility (IV). Who was at a loss? Those who paid more that what should have been paid- options buyers. Who profited- sellers. (over long term to let probabilities play out). They collected more premium for something that was worth less.

Options buyers can only win if move happens fast and more than implied, otherwise they lose.

IV cannot predict market direction, it can only tell that premiums are rich as compared to calculated and sellers have an edge. IVR measures the IV over the last 1 year compared to itself and so does percentile. If it is high, I can collect more premium as an insurance agent and it gives me an egde. Hence it is so revered.

That is why being delta-neutral is advantageous to sellers, unless of course your have a magic ball.

PS: EWMA is not related to IV. It is the exponential weighted moving average of the realized volatility. It does not help in anything other than knowing what is the current volatility.
 

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