I think your work is fantastic. I have a quick question about today's article. Where do you get your numbers for historical implied volatility? Better yet, where would one get those numbers without having a supercomputer sitting around with lots of memory?
Thank you kindly,
Many readers asked this week about software and resources for option data and strategy analysis. While the learning process is never truly finished, it's encouraging to see a gradual shift in demand from broad educational materials to applicable real-time trading tools. It sounds like you guys are chomping at the bit and really mixing it up out there -- profitably, I hope.
But rather than note specific software packages and trading platforms -- which can be quite costly and, well, I can't give away all my secrets, can I? -- I'd prefer to direct you to a couple of agnostic Web sites that are chock-full of data and research tools that are available for little or no money.
But before I turn you loose, however, allow me a few moments at the lectern.
While I can hardly overemphasize the importance of researching data, back testing and running strategy scans, this simply helps to shift odds and improve risk/reward profiles. The essential ingredient to profitability remains being right. I don't know of any strategies that make money when you're wrong, but there are plenty of strategies, if misapplied, that won't yield a profit even if your thesis is correct. Put another way, if something is cheap, that doesn't mean it won't get cheaper, and if something has never happened before, it doesn't mean it won't.
One site I've mentioned before is
. While its emphasis is on general option education, it also has some neat free features. Pertinent to this discussion is the high/low volatility section, which can be accessed through the left-hand tool bar on the home page. It lists 100 stocks whose implied volatility is trading at the high end of their two-year range and 100 stocks trading at the low end. I find this a great starting place for finding names to drill down into further.