Implied Volatility - IV

[TradeOptions]

If you mean to say that these iv's of calls and puts of different strikes are combined and the resultant is considered as the volt of underlying ...

No..They are not combined and there is nothing like weighted iv.
volt and iv are different.

volt - based on underlying.
iv's - On option prices.

Nifty iv's may fluctuate drastically without significant change in nifty.

Brother I was not talking about Volt in the above post, I mentioned IV only, and my reply was based on method explained at this link -
https://getsatisfaction.com/seediff/topics/f_o_terms_the_basic_fundas
and I am referring to the Value that is shown in the IV Column of various platforms like myfno etc. in front of each individual Futures Contract like Infy, DLF etc.

Implied Volatility (IV) : in simple terms it is how much volatility the market is expecting in the future ( vis-à-vis the Historical Voaltility HV which is calculated from the past price movements). A higher IV means people expecting a lot of volatility & are thus willing to pay a higher price / premium in options to protect their interests. A lower volatility means people are getting comfortable with current market scenario.

For IV we use black-scholes formula to calculate IV for each strike, using futures price for underlying & zero interest rate ( since all are European options).

Then we apply a volume-weight and calculate overall IV of a symbol through a volume-weighted avg of IVs across strikes to arrive at one common IV for that stock/symbol i.e.

IVsum = (IV1*Qty1) + (IV2*Qty2) + .................. (IVn * Qtyn) QtySum = ( Qty1 + Qty2 + ........... QtyN) IVavg = IVsum / QtySum where 1,2,...N represent individual strike contracts

Please correct me if I have understood anything wrongly. Because I still think that this is the process used for getting the IV value for a Futures Symbol "obviously it would be based on the corresponding option strikes of that particular symbol" -

Then we apply a volume-weight and calculate overall IV of a symbol through a volume-weighted avg of IVs across strikes to arrive at one common IV for that stock/symbol

Thanks and best regards

 

[adg123]

Is there any way to Pull REAL TIME Implied Volatility of a particular strike to excel sheet from Zerodha/other terminal ? IV of NSE is lagging.

Manual Option Greeks Calculation (almost real time) is possible through an simple excel calculator by putting greek formulas, similar to Max Pain calculator, but problem is - one must have real time IV of that particular strike, Otherwise it is lagging.

 

[Jenu]

Is there any way to Pull REAL TIME Implied Volatility of a particular strike to excel sheet from Zerodha/other terminal ? IV of NSE is lagging.

Manual Option Greeks Calculation (almost real time) is possible through an simple excel calculator by putting greek formulas, similar to Max Pain calculator, but problem is - one must have real time IV of that particular strike, Otherwise it is lagging.

Can you please share how to put Greek formulas in Excel Sheet

 

[mohan.sic]

Brother I was not talking about Volt in the above post, I mentioned IV only, and my reply was based on method explained at this link -
https://getsatisfaction.com/seediff/topics/f_o_terms_the_basic_fundas
and I am referring to the Value that is shown in the IV Column of various platforms like myfno etc. in front of each individual Futures Contract like Infy, DLF etc.


Please correct me if I have understood anything wrongly. Because I still think that this is the process used for getting the IV value for a Futures Symbol "obviously it would be based on the corresponding option strikes of that particular symbol" -


Thanks and best regards

Sorry, i thought you mentioned volt for underlying.

I went through that web link on iv's that you provided. You are correct in understanding what they said. But what i am saying is, that article itself is meaningless in a direction.

There is no need for us to believe if something is available on a website.

The way he is averaging iv's of different strikes and arriving at a weighted iv value --- Method is not wrong. But illogical.


To understand why it is illogical, we must understand - what is iv, how iv is calculated, what factors create fluctuations in iv's. Once we understand these, our perception towards iv will change.

-------------------------------------------------------------------------------

High iv = High Premium & Low iv = Low premium

Without doubt i can say that most of us believe in above statement.

But is that correct ?

High iv = High Price........WRONG way of understanding
HIGH Price = High IV........CORRECT way of understanding.

Price is not high due to high iv.
IV is high due to high price.

If you want to try live - choose any ill-liquid counter and buy 4 lots at market price. You can see its iv shooting up. But it does not mean that price of underlying should move up.

IV's of a strike fluctuates based on demand -supply of that option contract.

To large extent, It has got nothing to do with price prediction.
That is why i say - add iv's, multiplying them to volumes to get volume weighted iv's etc etc experiments are senseless.

 

[TradeOptions]

Sorry, i thought you mentioned volt for underlying.

I went through that web link on iv's that you provided. You are correct in understanding what they said. But what i am saying is, that article itself is meaningless in a direction.

There is no need for us to believe if something is available on a website.

The way he is averaging iv's of different strikes and arriving at a weighted iv value --- Method is not wrong. But illogical.


To understand why it is illogical, we must understand - what is iv, how iv is calculated, what factors create fluctuations in iv's. Once we understand these, our perception towards iv will change.

-------------------------------------------------------------------------------

High iv = High Premium & Low iv = Low premium

Without doubt i say that most of us believe in above statement.

But is that correct ?

High iv = High Price........WRONG way of understanding
HIGH Price = High IV........CORRECT way of understanding.

Price is not high due to high iv.
IV is high due to high price.

If you want to try live - choose any ill-liquid counter and buy 4 lots at market price. You can see its iv shooting up. But it does not mean that price of underlying should move up.

IV's of a strike fluctuates based on demand -supply of that option contract.

To large extent, It has got nothing to do with price prediction.
That is why i say - add iv's, multiplying them to volumes to get volume weighted iv's etc etc experiments are senseless.

Thank you so much for the explanations Mohan bhai. You seem to have deep knowledge of Option Fundas, which most novice traders like me do not have. That's why I just took the information from that link and assumed it to be correct way of looking at IV as a total for a symbol, without giving any deeper thought to it. Thank you so much for pointing it out. :thumb:

I really do not have any deep understanding of how IV values get calculated for every single option strike in real time. I have read a few links about it, but everything seems to go over my head. I asked about it sometime back as well, but still my doubts remains, if you get some time, could you please reply about it in that thread -
http://www.traderji.com/options/99958-crash-iv.html#post1106310

I really want to know, if big guys can move the IV in such a manner, that it suits their trades !

Regarding this part -

High iv = High Premium & Low iv = Low premium

Without doubt i say that most of us believe in above statement.

Yes, I had exact same perception. What you have mentioned is new idea for me. I simply used to think that if the IV is comparatively higher for any particular option contract on a day, then it is Expensive, because of the additional increase in its value, just from this IV Component. And if this IV retraces back "because IV tends to fluctuate from high to low extremes normally" then the Option Price will get reduced, even if the underlying remains same.
It would be really great, if experienced guys like you and travi bhai etc. make few more such posts, as most of the traders here do not understand the concept of IV properly.

Thanks and best regards

 

[mohan.sic]

Thank you so much for the explanations Mohan bhai. You seem to have deep knowledge of Option Fundas, which most novice traders like me do not have. That's why I just took the information from that link and assumed it to be correct way of looking at IV as a total for a symbol, without giving any deeper thought to it. Thank you so much for pointing it out. :thumb:



Thanks and best regards

for sure i can tell you that i dont have in depth knowledge on option fundas.. ...But what ever i write are observations from market. And exp from trading.

 

[dillip91]

Is there any way to Pull REAL TIME Implied Volatility of a particular strike to excel sheet from Zerodha/other terminal ? IV of NSE is lagging.

Manual Option Greeks Calculation (almost real time) is possible through an simple excel calculator by putting greek formulas, similar to Max Pain calculator, but problem is - one must have real time IV of that particular strike, Otherwise it is lagging.

I am also searching an excel based tool to scan stocks for the same. Sharekan is publishing an excel sheet at sharekhan.com/Upload/Derivatives/Derivativekit.xls But you can see only EOD data and not the live one.
I am trying to create a an excel to show live data as below.
Basically my idea is to:

1. Find stocks which is heavily tilted towards one side in terms of Volume and/or Change in OI. Like the "Change in OI" of Call option is highly growing compared to Put option or vice versa. Choose the top 10 or so as candidate for intraday trading. Similarly check the volume.

2. Do a pivot analysis on the shortlisted stocks found from above step. You can refer tradingtuitions.com/intraday-open-high-low-strategy-live-signals/. This system alone has decent accuracy. On good days it has above 80% accuracy. Bad days it can fall. I am testing this for 2 weeks only.

These two steps will provide on which stock to trade for the day and which direction. By 10 AM we should have this data.

3. The final step is to find the exit point and possible re-entry after a retracement. We will use MT4 for this. I have clubbed a few indicators from different sites. Timeframe is 5 min chart and a mix of Renko also. Will discuss this later in detail.

If people like this method please let me know. We will start building an excel sheet to capture all nse-200 stocks with all your ideas added.

 

[mohan.sic]

Is there any way to Pull REAL TIME Implied Volatility of a particular strike to excel sheet from Zerodha/other terminal ? IV of NSE is lagging.

Manual Option Greeks Calculation (almost real time) is possible through an simple excel calculator by putting greek formulas, similar to Max Pain calculator, but problem is - one must have real time IV of that particular strike, Otherwise it is lagging.

If your zerodha terminal is nest plus registered: Go to column profile setting of market watch, Add IV's to market watch, and link the terminal to excel.

 

[quaalude]

Hmm..was looking for IV and IV percentile source in India a few years ago. My Indian brethren seem to have finally woken up in 2017. Had a chat to myfno and other platforms in 2014-15 and some of them were not even aware of it, Anyway this is the closest I got for any free source>> https://www.optionwin.com/

 

[bunty44]

I am also searching an excel based tool to scan stocks for the same. Sharekan is publishing an excel sheet at sharekhan.com/Upload/Derivatives/Derivativekit.xls But you can see only EOD data and not the live one.
I am trying to create a an excel to show live data as below.
Basically my idea is to:

1. Find stocks which is heavily tilted towards one side in terms of Volume and/or Change in OI. Like the "Change in OI" of Call option is highly growing compared to Put option or vice versa. Choose the top 10 or so as candidate for intraday trading. Similarly check the volume.

2. Do a pivot analysis on the shortlisted stocks found from above step. You can refer tradingtuitions.com/intraday-open-high-low-strategy-live-signals/. This system alone has decent accuracy. On good days it has above 80% accuracy. Bad days it can fall. I am testing this for 2 weeks only.

These two steps will provide on which stock to trade for the day and which direction. By 10 AM we should have this data.

3. The final step is to find the exit point and possible re-entry after a retracement. We will use MT4 for this. I have clubbed a few indicators from different sites. Timeframe is 5 min chart and a mix of Renko also. Will discuss this later in detail.

If people like this method please let me know. We will start building an excel sheet to capture all nse-200 stocks with all your ideas added.

Hi,
Do you have this excel ready? Can you share?