![]() A large percentage of >5% OTM calls trading at the Ask price may be an indication that traders expect a large upward move.Įach option trade executed has a trade delta, which represents the quantity times the delta. The volume of options bought at the Ask price that are more than 5% out of the money. A high percentage may indicate that the volume is predominantly driven by customers entering buy orders. The percentage of options that have traded at the Ask price. The volume of options that have traded at the Ask price. The volume of options that have traded at the Bid price that are more than 5% out of the money A high percentage may indicate that the volume is predominantly driven by customers entering sell orders. The percentage of options that trade at the Bid price. The number of options that have traded at the Bid price. ![]() HV90 is the historical volatility of the underlying security over the last 90 trading days. HV30 is the historical volatility of the underlying security over the last 30 trading days. HV20 is the historical volatility of the underlying security over the last 20 trading days. HV10 is the historical volatility of the underlying security over the last 10 trading days. IV30, IV60, and IV90 are trademarks of LiveVol, Inc. Implied volatility blends aid in historical analyses as it is possible to construct a multi-year IV30 stream, whereas actual options expire and inhibit analysis. ![]() IV30, IV60, and IV90 represent estimated implied volatilities of the theoretical 30-, 60-, and 90-day options. Implied and historical volatility percentiles represent current volatility compared to volatility over the past 52 weeks. Historical volatility represents the actual volatility of the underlying stock. Implied volatility blends represent the current levels of volatility in options market pricing The most important volatility and order flow characteristics are provided in a concise format to help investors quickly analyze trading opportunities and patterns.
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