Find Option Blocks Trades with High Implied Volatility Levels


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In this video, you will see an example how to use a filter on the options block trade screener to find options trading for relatively high option premium. To accomplish this, I set the IV percentile filter to over 90% percentile rank and then go to the option chain to view the historical implied volatility levels for that option. You will also see how to compare the market price of the option to a theoretical value to get a sense how far away the current option price diverges from a historical median.

 

 

Stock and option trading involves risk may not be suitable for all investors. This post is for informational purposes only, and is not intended to be a recommendation to buy or sell any security. Neither MarketChameleon nor any other party makes warranties regarding results from its usage. Past performance does not guarantee future results. Please consult a financial advisor before executing any trades.

Note: selling options can result in losses of greater than 100%. Average returns from selling options is calculated based on net change in value against the initial theoretical option value. Prior to buying or selling an option, you should read the Options Clearing Corporation's Characteristics and Risks of Options.
The information is provided for informational purposes only and should not be construed as investment advice. All stock price information is provided and transmitted as received from independent third-party data sources. The Information should only be used as a starting point for doing additional independent research in order to allow you to form your own opinion regarding investments and trading strategies. The Company does not guarantee the accuracy, completeness or timeliness of the Information.