Time spread:
Time Spread Scan Details
Stock Price >= $5
Avg. Option Volume >= 1500
Industry != Bio-Tech
Sigma2 - Sigma3 >= 7
Sigma2 >= 1
Sigma3 >= 1
Days After Earnings <= 10 >= 70
The Sigma2/3 >=1 is just a sanity check so I don't get any weird bond funds with 0.5 vol or whatever. The days after earnings makes it so I can eliminate some earnings vols from the front month, as I am looking for natural time spreads, not earnings plays (I have a separate scan for earnings).
I have included the Skew Tab (click to enlarge). This illustrates pretty clearly the vol diff from Oct to Dec. I've highlighted the 40/45 strangle.
Evaluated Time Spread with Earning as back
Custom Scan Details
Stock Price >=5
IV30™ - HV20™ >= 10
HV180™ - IV30™ <= -8
Average Option Volume >= 1,200
Industry != Bio-tech
Days After Earnings >= 10 <= 60
The goal with this scan is to identify short-term implied vol (IV30™) that is elevated both to the recent stock movement (HV20™) and the long term trend in stock movement (HV180™). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated IV30™ simply because earnings are approaching.
Custom Scan and Finding Low Vol to Purchase
Custom Scan Details
Stock Price >= $10
IV30™ >= 1
Industry != Bio-tech
Average Option Volume >= 1000
IV30™ - HV20™ <= -10 >= -75
Days After Earnings >= 29
So, non-bio tech stocks that are more than $10, with HV20™ at least 10 points higher than IV30™ which are not affected by earnings.
No comments:
Post a Comment