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Options Market Briefs

 


Market Briefs:

Options

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30-day Implied Volatilities: Gainers & Losers

 
 
Gainers/Losers Implied vs. Historical Volumes Volatilities Volumes Put/Call Volumes Put/Call Open Interest

 

 

30-Day Implied Volatilities Gainers 30-Day Implied Volatilities Losers

 

As of Thurs, 13 Aug 2015 03:56 PM EDT. Data available real-time to PT clients in Trader Workstation.

 

 

30-day Implied Volatilities Gainers

Table Definition

 

Top Twenty Volatility Gainers and Losers

The current trading day’s 30-day Implied Volatility is divided by the prior trading day’s 30-day Implied Volatility to determine the change in volatility for the day and the top 20 gainers and losers are posted. Gainers are those symbols which the options markets believe will have the greatest up or down price movement in the future as compared to the past, and losers are those symbols which the options markets believe had a large up and down price movement and will stabilize in the future. Implied volatility, closing price, and change in price from the prior day are also displayed.


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Yes, our trading platform does provide IV rank/IV percentile.
 
 

 
 

Implied vs. Historical Volatilities

 

 

 
Gainers/Losers Implied vs. Historical Volatilities Volatilities Volumes Put/Call Volumes Put/Call Open Interest

 

Highest Implied/Historical Volatilities Lowest Implied/Historical Volatilities

As of Thurs, 13 Aug 2015 03:56 PM EDT. Data available real-time to PT clients in Trader Workstation.
 
 
 

Table Definition

 

Implied vs. Historical Volatilities

The 30-day Implied Volatility is divided by the 30-day historical volatility. This ratio highlights those symbols in which the market prediction of future volatility is much different from the volatility in the market over the last 30 days. The formula for historical volatility as defined by Garman-Klass. The top twenty symbols with the highest ratios as well as the top twenty symbols with the lowest ratios are displayed.

Implied volatility, historical volatility, closing price, and change in price from the prior day are also displayed.

 

 

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Volatilities:

Top Twenty 30-day (V30) Implied Volatilities

   
 
Gainers/Losers Implied vs. Historical Volumes Volatilities Volumes Put/Call Volumes Put/Call Open Interest

30-day Implied Volatilities

As of Thurs, 13 Aug 2015 03:56 PM EDT. Data available real-time to PT clients in Trader Workstation.

 

 

Table Definition

 

Top Twenty 30-day (V30) Implied Volatilities

Implied volatility is the options market's prediction of how volatile a given underlying will be in the future. It is calculated by inputting all known information into an options pricing model (i.e. option price, interest rates, dividends, strike price, and expiry date) and backing out the unknown parameter, the implied volatility.

Twenty symbols with the highest implied volatilities are ranked in descending order and displayed on an annualized basis. Implied volatility is calculated using a 100-step binary tree for American style options, and a Black-Scholes model for European style options. Interest rates are calculated using the settlement prices from the day’s Eurodollar futures contracts, and dividends are based on historical payouts.

The PT 30-day volatility (V30) is the at market volatility estimated for a maturity thirty calendar days forward of the current trading day. It is based on options prices from two consecutive expiration months. The first expiration month is that which has at least eight calendar days to run. The implied volatility is estimated for the eight options on the four closest to market strikes in each expiry. The implied volatilities are fit to a parabola as a function of the strike price for each expiry. The at-the-market implied volatility for an expiry is then taken to be the value of the fit parabola at the expected future price for the expiry. A linear interpolation (or extrapolation, as required) of the 30-day variance based on the squares of the at market volatilities is performed. V30 is then the square root of the estimated variance. If there is no first expiration month with less than sixty calendar days to run we do not calculate a V30.

Closing price and change in price from the prior day are also displayed.


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Top Twenty Options Volumes and Volumes Gainers

 
Gainers/Losers Implied vs. Historical Volumes Volatilities Volumes Put/Call Volumes Put/Call Open Interest

 

Top Twenty Options Volumes Top Twenty Options Volumes Gainers

As of Thurs, 13 Aug 2015 03:56 PM EDT. Data available real-time to PT clients in Trader Workstation.
 

 

Table Definition

 

Top Twenty Options Volumes and Volumes Gainers

Options volumes for the day are displayed for the top twenty symbols with the highest volumes.

The trading day’s options volumes are divided by the previous ten trading day’s options volumes average and the top twenty gainers are posted by symbol.

Closing price and change in price from the prior day are also displayed.


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Top Twenty

Put/Call Volume Ratios and

Call/Put Volume Ratios

 
Gainers/Losers Implied vs. Historical Volumes Volatilities Volumes Put/Call Volumes Put/Call Open Interest
 

 

Put/Call Volumes Call/Put Volumes

Put/Call Volumes
 
As of Tue, 14 Jul 2015 03:56 PM EDT. Data available real-time to PT clients in Trader Workstation.  
 

 

Table Definition

 

Top Twenty Put/Call Volume Ratios and Call/Put Volume Ratios

Put option volumes are divided by call option volumes for the trading day, and the symbols for the twenty highest ratios are displayed. For the put/call ratio, the HIGHER the value, the more negative the sentiment since it would indicate more puts traded than calls. A ratio of less than one indicates more call volume than put volume.

Call option volumes are divided by put option volumes for the trading day, and the symbols for the twenty highest ratios are displayed. For the call/put ratio, the HIGHER the value, the more positive the sentiment since it would indicate fewer puts trading than calls. A ratio of less than one indicates more put volume than call volume.

Closing price and change in price from the prior day are also displayed.


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Top Twenty

Put/Call Open Interest and Call/Put Open Interest

 
Gainers/Losers Implied vs. Historical Volumes Volatilities Volumes Put/Call Volumes Put/Call Open Interest
 

 

Put/Call Open Interest Call/Put Open Interest

Put/Call Open Interest
 
As of Tue, 14 Jul 2015 03:56 PM EDT. Data available real-time to PT clients in Trader Workstation.  

 

 

 

Table Definition

 

Top Twenty Put/Call Open Interest and Call/Put Open Interest

Put option open interest is divided by call option open interest and displayed for the top twenty symbols with the highest ratios. This ratio may indicate negative sentiment in the options market.

Call option open interest is divided by put option open interest, and are displayed for the top twenty symbols with the highest ratios. This ratio may indicate positive sentiment in the options market.

Open Interest ratios reflect a longer time period than Put/Call and Call/Put daily volume ratios and therefore tend to be less volatile.

Closing price and change in price from the prior day are also displayed.


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The Options and Futures Intelligence Report Summary Explanation:

The Options and Futures Intelligence Report presents vital market information that is extremely useful to serious traders based on (and courtesy of our clearing firm) Interactive Brokers Group's experience of professionally trading the markets for nearly three decades. Option and futures pricing data have built-in information that provides the option and futures markets’ consensus outlook for subsequent activity in the markets. These leading indicators can provide a guide to traders and investors before news is widely disseminated to the public at large or reflected in underlying prices.

 

One of the most important of these indicators, implied volatility, represents the markets’ view of uncertainty associated with future price movements. When the current implied volatility is compared to the prior day’s implied volatility, a large increase can foretell unexpected news developments and provide an opportunity to adjust positions accordingly. This gain indicates that option market participants anticipate greater price movement than in the past, possibly because of information that is not yet readily available. Conversely, a large decrease in implied volatility indicates the expectation of subsiding price movements, possibly because all recent news has been reflected in current underlying prices. Large premium or discount of implied volatility to historical volatility over the past 30 days is frequently not justified and may represent significant trading opportunities. Other options market data presented in our report such as volumes and call/put ratios also plays a role in understanding sentiment in the markets.

 

For futures markets, we present two measures: Synthetic EFP Rates and Futures Arbitrage Premium/Discount Index. The Synthetic EFP Rates highlight financing opportunities where entering into an Exchange for Physical (stock for single stock future swap) will provide a lucrative investment return or a very low borrowing rate. The Futures Arbitrage Premium/Discount Index highlights discrepancies between major index futures contracts and their underlying fair value.

 

For the purpose of the tables, those options symbols with less than a $5 stock price, and less than 200 options contracts traded, and whose company has less than $1 billion in capital are screened out to eliminate symbols whose information may be more indicative of lack of liquidity in the markets. All tables are generally posted throughout each trading day (under normal circumstances). Tables are also posted at 16:15 ET to capture the market close. The Fut Arb table is updated every 15 minutes (with a 15-minute market delay), 12:00 AM Monday through 11:59 PM Friday. To view volatility and volume as well as other market summary statistics in real-time within our premier direct access trading platform, Trader Workstation, you must have an account with Place Trade. Click "Open an Account" at the top right of the page or follow this link directly.

Options Education

 

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Options Trading

What is an option? An option is a financial derivative the represents a contract sold by one party to another. The contract offers the buyer the right to buy (call) or sell (put) a security or other financial asset at a prearranged price (strike or exercise) during a certain period of time or on a certain date. It is important to note that the contract buyer is not obligated to exercise the contract.

Call options give the option to buy at a certain price, so the buyer would want the stock to increase in value.

Put options give the option to sell at a certain price, so the buyer would want the stock to go down.

 

 

Options Trading Tools & Resources

Be sure to check out the Options Resources toolbar on the left side of this screen for much more information including information on the options trading tools available at Place Trade and how to use them.

 

View Strategies and Advanced Concepts from the Options Industry Council:

Strategies

Advanced Concepts

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