I would love to create an indicator that could take an underlying stock and plot the Implied volatility differential of the 25 Delta(or closest too .25) puts/calls similar to what is found Market Chameleon. https://marketchameleon.com/Overview/CL/VolatilitySkew.
I am not sure if I am seeing this correctly but in the thinkscript manual, we seem to calculating what the delta should be based on what the stocks IV is, instead of looking at what the actual IV of that option is, unless I am missing something. The idea behind this is when there is a ton of OTM option activity on a particular strike it's IV will move out of proportion to the rest of the strikes. Ultimately I would like to be able to scan for stocks that have high differentials, maybe there is just a way to do this through option hacker and I haven't figured it out, any help would be appreciated.
I am not sure if I am seeing this correctly but in the thinkscript manual, we seem to calculating what the delta should be based on what the stocks IV is, instead of looking at what the actual IV of that option is, unless I am missing something. The idea behind this is when there is a ton of OTM option activity on a particular strike it's IV will move out of proportion to the rest of the strikes. Ultimately I would like to be able to scan for stocks that have high differentials, maybe there is just a way to do this through option hacker and I haven't figured it out, any help would be appreciated.
