an option's implied volatility and a stock's historical volatility -- bringing them together into one display in Option Hacker

DianaMelvin

New member
This seems strange because it is a basic thing, but I can't find how to do it, so maybe Option Hacker just isn't set up for it. Here is my problem:

in Option Hacker, I want to make a custom column in the output (not charts, just columnar output of the scan results), where each row of course is data about one option, and this custom column will show the option's implied volatility (NOT the composite volatility for all options for a given stock symbol), divided by the historical volatility for the stock (NOT the historical volatility of the option itself). Then based on that, I was planning to sort with it, and tinker with it so that the number of days on which to based the HV calculation would match the number of days till the option expires, etc., but I never got that far.

It seems possible to call up the stock's HV in Stock Hacker, but not in Option Hacker. But the IV that you can get in Stock Hacker is only the composite IV over all the options for that stock.
Isn't the ability to make an IV/HV ratio for an individual option, kind of basic? So I am missing something that is basic. A straightforward attempt like this, results in a column full of N/A values:
def IV = impVolatility()*100;
def HV = historicalVolatility()*100;
AddLabel(yes, IV/HV);
If you can send me in the right direction, I would appreciate it. Thanks in advance!
 
@DianaMelvin The Impl Vol column displays the same in Watchlists as it does in the Option Chain... Is this not what you are looking for...??? It displays the Impl Vol for every strike price... No need to calculate manually... Specifically, check the bottom two lines...

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Thanks, yes, that is part of it. Although it seems to have gaps, yes, that Imp Vol column gets the right values. But what I am seeking is a way to call that value, as part of a formula that divides it by the stock's historical volatility. I haven't been able to find any way to "address" that Imp Vol column in a formula. (for instance, it doesn't seem possible to refer to it by the column name)

And then there's the other part -- the HV -- which I have not been able to get to show up on Option Hacker displays at all. Only in Stock Hacker. Again, if there were some way to reference it, so that it could be used in a formula, that would be super. Like "StockHacker.HistoricalVolatility" or something.

So, those two pieces of data do exist out there, I just haven't found a way to refer to them in a single formula so that I can display their quotient in a custom column.
 
no idea how to do that. would u be able to help a brotha out with that!
Go to your option hacker and do whatever you want for your normal option search.

Go to the search results and on the far right, click the little gear ratio.

Search custom on the left column and select any of the scripts, delete the script text, and enter:

Code:
plot ImpVol = IMP_VOLATILITY()[?];

Where the "?" is, replace this with any number you want for how many days ago you want the implied volatility to check.

You could also do the average of the past couple of days as follows:


Code:
def ImpVol = IMP_VOLATILITY();
plot ImpVolAvg = average(ImpVol,?);

This should give you the average implied volatility for the last "?" number of bars. As this is before market open, I don't believe I can check it.


I'll try this during market hours to see if it works.
 

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