Scan for stocks with decreasing weekly options volatility

lance

New member
Is there an existing scan (on can someone create one) that scans stocks with weekly options where the IV is decreasing from 1 week to another? i.e. show me stocks with weeklies whose IV is higher in the current expiration than in next week's expiration.

From Mr. Script Tue Sep-02-2014:

Code:
# Implied Volatility percentile is between
#Share link is for a scan the searches for stocks as potential option trading candidates
#Run WEEKLYS, Last > 11, Mkt Cap >50B

input min = 16;
input max = 84;
def vol = impVolatility();
rec data = if !isNaN(vol) then vol else data[1];
def hi = highest(data,252);
def lo = lowest(data,252);
def perct = (data - lo)*100 / (hi - lo);

plot scan = min < perct  AND perct < max;
 

BenTen

Administrative
Staff
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Sure

9M0qqF3.png
 

lance

New member
I was looking for something where i can scan the IV of the current week expiration vs next week's. That scan does not yield proper results. Please advise - thanks for all the help thus far :)
 

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