Finding Volatility Skew
The
Volatility Skew Finder
can be used to identify stocks with call contracts trading at higher volatilities
than similar put contracts, or put contracts trading at higher volatilities than
similar call contracts.
- Choose the desired Report Date from the Report Date drop down menu. Subscribers
can generate reports using end of day trading data from the most recent
trading day. Non-subscribers must register to use the report and will see
delayed data.
- Optionally, enter a symbol, expiration, minimum price, or minimum option
volume. All filter criteria is applied to both Call and Put contracts.
- Choose a Sort Order. The 'Bullish' option shows contracts that have a
higher Call implied volatility than Put implied volatility. The 'Bearish' option shows contracts
that have a Put implied volatility higher than the corresponding Call
implied volatility. The difference
is displayed in the IVol Diff column.
- Click on the chart icon
to display the Volatility Skew chart for the corresponding stock.
