In the VolatilityAnalyzer service 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. After you create your report, you can do more in-depth analysis of each individual underlying by charting volatility graphs. A step-by-step guide follows, showing how you can do this analysis.
Set Underlying Price Range
<
Price
<
Set number of days to look back at Implied Volatility
Hist.
Days
%
<
1 Day Implied Vol.
<
%
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). That allows you to enter the symbol, select volatility (implied or statistical), and set the number of days for each volatility. Then, by clicking on a "Show Graph" button, you can view the graph of the underlying as well as selected volatility. You will see samples of the charts later in this tour.
Right now let see how you can set your search criteria.
Parameters.
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)
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.
Set Volatility Ratio (you can set up to 5 logical statements).
The First and Fourth columns allow you to select volatilities that you want to be a part of your volatility analysis.
The Second column is a 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(<,=,>).
The Fifth column allows you either complete your search criterions by selecting END or continue to the next row by selecting AND.
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 and charts you can get as a result of this request.
