Volatility Scanner
Surveying the options market for Over- and Under-Valued Options

The Volatility Scanner can be an excellent source of ideas for new assets to trade. With it, you can find assets with liquidity and volatility characteristics that allow you to identify over- and under-valued options for buy and sell opportunities.

The Volatility Scanner allows you to look for assets possessing exceptional liquidity and volatility characteristics.

The criteria available for selection are:

• Highest IV (Implied Volatility)
• Lowest IV
• Highest SV (Statistical Volatility)
• Lowest SV
• Highest IV/SV ratio
• Lowest IV/SV ratio
• Highest current IV percentile
• Lowest current IV percentile
• Highest current SV percentile
• Lowest current SV percentile
• Greatest dollar volume of options traded

You can specify exactly what you are looking for and the number of candidates that result. Search the whole BDB, certain asset types (such as stocks or futures), or a subsection of assets that you specify. Search by one criteria, and sort the results by a different one.

When you find a promising asset, add it to your Quotes Display, and then perform additional research using the Matrix, Price Chart, and Volatility Chart. You’ll soon find the Volatility Scanner is a valuable addition to your trading toolbox.

How many assets are picked?
Volatility Scanner will list the top 50 qualified candidates. If there are fewer than 50 assets that qualify, only those qualified assets will be listed.

Pick them based on and Sort them based on
Choose the criteria you want to use for picking and sorting assets. You can have the Volatility Scanner pick the top candidates according to one criterion, and sort them according to another.

For example, you could pick the top assets according to dollar volume of options traded and then rank them based on a ratio of implied vs. statistical volatility.

Assets of Type
“Assets of type” allows you to choose specific asset types from the drop-down menu. Choose “All” if you want the Volatility Scanner to consider all asset types.

Minimum DVO
An entry in this field tells the Volatility Scanner to list assets whose DVO (dollar volume of options traded) is greater than or equal to this number. DVO is a daily figure, expressed in thousands. A DVO of 250 means that for that asset, $250,000 worth of options trade daily, on average.

Minimum History
This field allows you to indicate a minimum historical time period you want considered. The program will exclude assets having less than the indicated amount of history. This field is expressed in years, 0.2 to 6.0 allowed, with 1.0 the default.

Percentile uses up to
This field gives you the ability to indicate a historical time period upon which to base the historical averages and percentiles. This field is also expressed in years, 0.2 to 6.0 allowed, with 6.0 the default.

Running the Volatility Scanner
With all of the fields filled in, click the Go button to run the Scanner.

Interpreting and Using Results
Once you hit the Go button, the Volatility Scanner extends the form and lists the qualifying assets, ranked in order of the sort value you chose. Each line will list the Symbol and Name of the asset, followed by the DVO, Statistical Volty and Implied Volty for that asset.

Under the Statistical Volty and Implied Volty headings are two columns: Current and Percentile. Current is the current volatility reading. Percentile is a number from 1 to 99 indicating the relative standing of the current reading in a historical context. A Percentile figure of 90, for example, means the current reading is higher than 90% of the historical readings over the past 6 years.

Important Note: The program will only survey information contained in the latest BDB (noted in the “Report based data as of … “ line). It cannot survey current asset information.