VIX

发信人: greedypig (发财猪),
信区: Stock标 题: Re: volatility smile
发信站: BBS 未名空间站 (Fri Jan 18 09:11:44 2008)

VIX high means bearish market. IV > HV means overpriced option and vice versa. All this means nothing if you don't know market direction. If you know something nobody knows then you have an edge, otherwise it's already calculated in the option price. For example if today you buy call you'll paypremium since all pre-market priceare already up (so option price gets auto adjusted), by next week you might not even break even when the market is dropping again (just a speculation).

发信人: greedypig (发财猪),
信区: Stock标 题: Re: volatility smile
发信站: BBS 未名空间站 (Fri Jan 18 09:23:50 2008)

It's way too complicated to explain it here (maybe another time). You can try this calculator. It's pretty accurate except the data is delayed abit but you can cross reference with morningstar.com (you get all the greeks andIV beside everything else like yahoo's option data) option data it's close
http://www.ivolatility.com/calc/?ticker=aaplhttp://www.morningstar.com/Cover/Options.aspx
Actually yahoo has an option scanner but it returns pretty depressing resultwhen I tried last night. It give you risk, probability of winning, odds, etc.
http://yahoo.optionetics.com/yhmain.htm
Have fun scanning;)