Compare moves with implied volatility

Building on what we learned from our options volume filtering we can apply the same to volatility filters.

where iv7d > 0 and iv30d > 0
  and (iv7d / iv30d >= 1.5 or iv7d / iv30d <= 1 / 1.5)
  and option_volume >= 10K

This selects a ratio of at least 1.5 or at most approximately 0.6667.

curl --fail-with-body --get 'https://api.unusualwhales.com/api/screener/stocks' \
  --header "Authorization: Bearer $UW_API_KEY" \
  --data-urlencode 'query=where iv7d > 0 and iv30d > 0 and (iv7d / iv30d >= 1.5 or iv7d / iv30d <= 1 / 1.5) and option_volume >= 10K' \
  --data-urlencode 'limit=10'

Here are some starting examples:

Find stocks trading at least one expected move away from their 20 day EMA.

where implied_move_7 > 0 
        and abs(price - ema_20) >= implied_move_7

Find stocks moving at least two implied standard deviations.

where abs(z_score) >= 2

It is the shortest example so far but it is quite powerful. First we need to understand how z_score is defined:

z_score = ((close - prev_close) / prev_close) * sqrt(251) / volatility_30

Z score measures the price change since the previous close relative to an IV based daily move. For example if a ticker has 30% IV the approximate 1 day standard deviation is 1.89%. A 4% gain gives a score of approximately +2.11. So in this case a 4% gain is for a 30% IV stock 2 sigma moves. If the IV is 60% it is then “just” one sigma move. For a ticker with 15% it would be a 4 sigma move. It is important to understand here that IV describes the magnitude of potential movements of a ticker, either up or down. The higher the IV the more expensive the options are and the market is pricing a bigger move which is why a 4% move on a stock is then surprising when the market didn’t price or even significantly underpriced it. With the z score you can filter for such tickers.

Overview

Guides

Compare moves with implied volatility

Find stocks trading at least one expected move away from their 20 day EMA.

Find stocks moving at least two implied standard deviations.

​Find stocks trading at least one expected move away from their 20 day EMA.

​Find stocks moving at least two implied standard deviations.

Find stocks trading at least one expected move away from their 20 day EMA.

Find stocks moving at least two implied standard deviations.