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Implied Volatility Data

by Caleb, 1652 days ago
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This item downloads last implied volatility data for U.S. stocks. The implied volatility is calculated from the options data for each stock.

Historical or statistical volatility is the past volatility of the underlying security and is measured using the annualized standard deviation. The implied volatility on the other hand is the market expectation of the future volatility and is derived from the different stock's options.

This downloader stores the data in a custom database "iv" and also gets the following values:
iv: Implied volatility
hv20: 20-day Historical volatility of the underlying stock/index
hv50: 50-day historical volatility
hv100: 100-day historical volatility
Percentile: Location of the current implied volatility as compared to past implied volatility values. The past values are usually gathered from the past 600 days.
A value of 0 indicates that the current implied volatility is the lowest as compared to previous data, while a value of 100 indicates that iv or implied volatility is at its highest level.

The data is updated once a week and you will need to run this downloader once a week to gather historical data.

Here is how to plot the current implied volatility:
a = getdata("iv", "iv");
plot(a, "Implied Volatility");

And here is how to create a screen that shows all stocks whose implied volatility is at least 20% higher than 20-day historical volatility and 50% higher than 50-day historical volatility:
iv = getdata("iv", "iv");
hv20 = getdata("iv", "hv20");
hv50 = getdata("iv", "hv50");
filter = iv > 1.2 * hv20 and iv > 1.5 * hv50;


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