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Fun with Volatility

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Al_Gorithm

Posted : Wednesday, October 31, 2018 8:46:46 AM

Registered User
Joined: 6/30/2017
Posts: 1,227

Hi Bruce,

Is there a way to plot Historical (Actual) Volatility versus Implied Volatilty?

I'm personally interested in SPY at the moment, but I can see this being handy for other underlyings as I learn more about trading volatility.

Thanks!

Bruce_L

Posted : Wednesday, October 31, 2018 8:56:51 AM

Worden Trainer

Joined: 10/7/2004
Posts: 65,138

I cannot think of any way to do so in the current version of TC2000. We can calculate historical volatility but there isn't a way to then take the ratio of HV to implied volatility.

Historical Volatility

-Bruce
Personal Criteria Formulas
TC2000 Support Articles

Al_Gorithm

Posted : Wednesday, October 31, 2018 9:47:50 AM

Registered User
Joined: 6/30/2017
Posts: 1,227

Thanks, Bruce.

For now I guess I can just compare the IV on the contracts I want to buy versus the one's I want to sell. If I need more data, I'll check the interwebs. :)

Bruce_L

Posted : Wednesday, October 31, 2018 9:50:43 AM

Worden Trainer

Joined: 10/7/2004
Posts: 65,138

You're welcome.

-Bruce
Personal Criteria Formulas
TC2000 Support Articles

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