Volatility Analyzer

In the VolatilityAnalyzer we provide you with the unique capability to customize your scan through our database of Historical and Implied Volatilities. You can also customize your Report by selecting fields that you are interested in. 

By clicking on the drop down menus below you can see all the choices available for your customizable searches.

Set Underlying Price Range

<

Price

<

Set Range (in %) of Historical Readings

Hist. Days

%

<

1 Day Implied Vol.

<

 %

AND

Hist. Days

%

<

<

 %

Set Volatility Ratio


Customize Your Report

Sort By

Last Price

Impl Vol

4 Day SV

5 Day SV

6 Day SV

10 Day SV

Sequence

20 Day SV

40 Day SV

50 Day SV

90 Day SV

100 Day SV

Hist. Read

The first thing you see is the opportunity to specify your parameters (see above).

Parameters.

    1. Set Underlying Price Range.
    • Select Underlying Type (Stocks or Index are your only 2 choices)
    • Set Price Range (10 < Stock < 100  Stocks would mean you want stocks trading between $10 and $100 per share)
    2. Set number of days to look back at Implied Volatility
    • Decide how far back in history you want to include daily composite volatility readings in order to determine the current percentile of implied volatility (Choices are 400, 300, 200 and 100 days.)
    • Set Percentile Range (60 <  1 Day Implied Vol. < 100) : set the percentiles of implied volatility you want to see in your report. If you're looking for cheap options, then you might want 0 <  1-day implied <  15, for example.
    3. Set Volatility Ratio (you can set up to 5 logical statements).
    • First & Fourth columns - Allows you to select volatilities that you want to be a part of your volatility heanalysis.
    • Second column - Constant that lets you set the ratio between the two volatilities you selected.
      For example, you might want to find situations where implied volatility is less than 1.2 times the 20-day historical volatility if you're looking for volatility buying situations. If in the first column you did not select volatility, then in the second column you can set an absolute value that will be compared with the volatility you set in the fourth column.
    • Third column - Sets the relationship between the two volatilities (or constant) you selected: less than, equal to, or greater than(<,=,>).
    • Fifth column - Allows you either complete your search criterions by selecting END or continue to the next row by selecting AND.
    4. Customize Your Report.
    • Sort By - Defines the field that final Report will be Sort by.
    • Sequence: ascending or descending sort.
    • There are 12 check-boxes shown. Click on a check-box if you want this field to appear on your final report. Check as many as you wish. They will be sorted by only one, though - the one you chose in step above.

The next page shows samples of the requests you can build and reports you can get as a result of this request.