tkirkpatrick1
24 posts
msg #134725
- Ignore tkirkpatrick1
modified |
3/3/2017 10:52:59 PM
Let me try this would like to see the following. I have an excel sheet that I can use that gives me this information, but I would love to be able to look for the last 100 days of volatility kick out the information below.
As an example I ran UVXY in my excel program today it kicked out the following values.
_________________________________________________________________________
Close Price: 21.44001
Current Volatility: 54.90
Average Volatility: 77.36
Maximum Volatility: 117.09
Minimum Volatility: 45.40
________________________________________________________________________
On the example above I can see the current is 54.90 which is less than the average of 77.36 !
So what I'm after is to be able to see where a sock's average volatility is above or below current volatility then be able to set a variable (i.e show stocks where average volatility <= average current volatility.)
Or the reverse of that show stocks where average volatility => average current volatility.
Thanks for looking at this for me sorry I wasn't more clear. My wife says I don't think through my thought process sometimes.
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gmg733
788 posts
msg #134727
- Ignore gmg733 |
3/4/2017 10:35:04 AM
Tastytrade has an IVRank thinkscript on their website that you may be able to write into SF code. They look at volatility based upon a 252 (one year) look back on daily charts. Their main objective is to sell high IV since the edge is that IV is mean reverting. This is all about options. Not buy/sell stocks.
If I knew how to embed something into SF I could show you.
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tkirkpatrick1
24 posts
msg #134791
- Ignore tkirkpatrick1 |
3/7/2017 10:59:21 PM
@gmg733 thanks for the follow up I would not know how to embed anything either. I know it can't be that hard just not sure how I get the three values.. I will keep playing with it until I get it I have an excel sheet I got from this site http://www.OptionTradingTips.com it work, but I can only see one symbol at a time.
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nibor100
1,031 posts
msg #134795
- Ignore nibor100 |
3/8/2017 11:55:33 AM
@tkirkpatrick1,
Could you provide the 3 settings for the optiontradingtips volatility spreadsheet you are using, as I can't seem to duplicate your values for UVXY on 3 March.
Those would be the days for Calendar year, number of volatility days, and the Start date.
better to be on common ground before starting to work on the filter....
Thanks,
Ed S.
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tkirkpatrick1
24 posts
msg #134799
- Ignore tkirkpatrick1 |
3/8/2017 9:49:11 PM
@nibor100 I could send you the excel sheet I have if you wanted to give shoot me an email address I have one that I get a lot of spam in so I could just look for your email then reply with the excel sheet. my junk email address is tkirkpatrick1@yahoo.com I will reply send you back the workbook I have you can see if it makes sense to you. If you don't mind it does have macros just so you not taken off guard.
Let me know if you think that would help?
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nibor100
1,031 posts
msg #134839
- Ignore nibor100 |
3/10/2017 12:56:07 PM
@tkirkpatrick1,
This might be close to what you are looking for:
a. The column 8 sort brings all of the stocks whose current 100 day historical volatility is above the 100 day average of the 100 day historical volatility values.
(note the average volatility that your spreadsheet provides is over the entire history of the stock you enter, so the length of that avg varies for each stock so I chose 100 days for the length of the average calc in the filter)
b. I set the first line "Show stocks where the Historical Volatility(100,1) is above 100" to 'above 100' to limit the number of stocks returned by the filter and so you can then sort by stock name descending, after the filter is run, so you can easily find UVXY.
The more stocks it returns the longer it takes the filter to run.
c. Sort the last column in order to get the stocks whose current 100 day volatility is below the 100 day average of the 100 day historical volatility values.
Let me know if I missed something or am completely off base.
Ed S.
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tkirkpatrick1
24 posts
msg #134874
- Ignore tkirkpatrick1 |
3/11/2017 3:55:20 PM
@nibor100 Thank you Ed this work very well I was able to get what I was looking for thank you so much for your help now I'm off to the markets. Provided they hold up kind of scary right now, but I'm looking to take a long position on Monday for JNUG think the talk of interest rate hike has everyone on the edge.
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