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QTLab - Implied vs Future Volatility Indicator
Version 1
This is an Indicator you can apply on every symbol where Implied Volatility is available, and it shows the accuracy of this estimates about the Future Volatility. Green histogram shows that Implied Volatility has overestimated the Volatilty that this symbol experienced in the next future; red, means an underestimation. IWM (Russell 2000 ETF), for example, shows a structural overestimation that you can exploit with strategies that sell options (credit spread) whereas SHLD (Sears Holding) shows an opposite situation, where implied volatility often underestimates future volatility, and you can exploit this situation buying options (or with some Vega positive strategies). When trading options is not simply a matter of Timing (WHEN buying low implied volatility or sell high implied volatility) but also of WHERE to do that, on which market.
This is an Indicator you can apply on every symbol where Implied Volatility is available, and it shows the accuracy of this estimates about the Future Volatility. Green histogram shows that Implied Volatility has overestimated the Volatilty that this symbol experienced in the next future; red, means an underestimation. IWM (Russell 2000 ETF), for example, shows a structural overestimation that you can exploit with strategies that sell options (credit spread) whereas SHLD (Sears Holding) shows an opposite situation, where implied volatility often underestimates future volatility, and you can exploit this situation buying options (or with some Vega positive strategies). When trading options is not simply a matter of Timing (WHEN buying low implied volatility or sell high implied volatility) but also of WHERE to do that, on which market.
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Developer
Requirements
Tradestation 9.5 (Update 10.4)
Support Documents
Asset Type
Stock, Option
Style
Long Term
Methodology
Other
Analysis Techniques
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