ASX option IV & data service

[VolTracker]

I have been thinking about launching an ASX option data service providing basic & advanced implied volatility tools, hist vol, greeks and stock & option rankings for Aussie stocks. Sort of like ivolatility.com in the US.

I developed the database for my own use but given that there is no real option data service in Aust. , I thought it might be useful to other traders out there.

Before I go to the trouble & expense of putting it on-line, I would like to find out if there is demand for such a tool.

I guess I'm asking if anyone at ASF is interested in such a data service and if so would they be interested in beta testing it when its ready.

thanks
VT

 

[reece55]

VT
Would be interested mate, always wanted to have access to this type of data but just don't have the time to collate it. Happy to be a beta tester..


Cheers

 

[sails]

Sounds great, VolTracker. Would be most interested to beta test should you decide to go ahead with it!

 

[dubiousinfo]

I agree, this sounds great. Put me down as a beta tester too.

 

[VolTracker]

Thanks everyone for the positive feedback.
I will have a basic website ready by next week.
I'll let you know the address then.
It will have most the final content and you'll be able to get mkt stats, IV's, HV's, Put call ratios, IV skews and ranked cov calls, written puts etc
It will take a bit longer to get a more professional site ready.
thanks

 

[VolTracker]

To Reece, Sails, Dubious & anyone else interested, I have set up some ASX eto volatility and trade stat data at...

http://www.impliedvolatility.com.au

It still needs a lot of work, but the content is pretty much as I want to deliver.

Dont worry about the sign in..doesnt work.
On the Volatility page, when you type in a stock code, dont hit enter, just click a button underneath.

I'd be really interested in any feedback - good & bad - and any ideas, suggestions. Hopefully, it will become a valuable resource for eto folk.
cheers
VT

 

[sails]

Looking good, VolTracker! Will go through it carefully over the weekend and then get back to you.

 

[reece55]

To Reece, Sails, Dubious & anyone else interested, I have set up some ASX eto volatility and trade stat data at...

http://www.impliedvolatility.com.au

It still needs a lot of work, but the content is pretty much as I want to deliver.

Dont worry about the sign in..doesnt work.
On the Volatility page, when you type in a stock code, dont hit enter, just click a button underneath.

I'd be really interested in any feedback - good & bad - and any ideas, suggestions. Hopefully, it will become a valuable resource for eto folk.
cheers
VT

Hi VT
I'm very impressed generally and whilst it needs a few tweaks, the volume of information here is excellent.

These are my comments:

In the volatility section:
* The ability to customize the charts, because the default contains too much data (3+ years) and the graph lines are too big.

* The frames in the put and call quotes section are cut off (i'm sure you will fix this later).

* A bit of a cull of irrelevant data (i.e. the vol surface chart shows some ridiculous IV's relating to deep OTM calls/puts, so getting rid of some of the silly data).

Trade Rankers:
The ability to sort the data which ever way you chose. So, it would be nice to be able to sort for say cheap ITM calls for all BHP options.

Also, once again, some data duds here , so it would be nice to review the OI here in general to see how liquid the options are.

Well, I think that's enough for me. But as I say, overall, looks great.

Cheers
Reece

 

[VolTracker]

Cheers Reece & Sails,
I'll add shorter timeframe IV/HV charts & fiddle with the quotes frames right away.
I need to think about the Trade Ranker a bit more. Its a trade off between filtering data before posting and letting people cut & paste to Excel to sort & filter.
I'll endeavour to keep the site up to date from here.
VT

 

[sails]

Hi VT,

Not too much else to add to Reece55's comments at this stage. However, I did notice that most of the ITM, expensive calls are mostly lepos with the 1c strike price. Also noticed an 11c strike price which I believe is European style, so may not be comparable to the American style options.

The other thing, along the same line as Reece's comments, I noticed many of the rankings have zero open interest. Perhaps there is a way to filter those out as well?

Otherwise, it is looking pretty good.

Cheers

 

[RichKid]

Just came across this thread thanks to Sails.....great work there VT, keep it up, I too have been struggling to get this type of data, will go through the site shortly.

Recently came across this little app via another thread on ASF- www.samoasky.com (OptionsOracle), worth a look too.
btw, you can get some free IV charts off www.morrisonsecurities.com.au, use their webiress charting package, free demo , thanks again to Sails for the tip! (type in 'BHPIV' as the stock code for BHP iv's, that's how you do it from memory, only covers IV for the bluechips though).

 

[VolTracker]

Thanks for the feedback on the site RichKid. Yes I like the look of Option Oracle for position evaluation, has anyone tried it out yet?

The vol site will be an excellent resource for option market action, implied volatility and trade rankings. Web Iress is the only other source of IV that I know of (excl OO), but I havent found anything that offers volatility skews, put-call ratios or trade rankings.

Still working on the site design and processing but its getting pretty close to launch. Happy for all to check it out and kick the tyres at ...

http://www.impliedvolatility.com.au

UserID/PW is vtuser/vtpw if asked.

Interesting that IV's and put-call volume ratios are at their highest since the August correction. Aussie VIX is at 39%, previous high was 45% just before the US govt cut the discount rate. They consistently move in an opposite direction to the market (ie an index of fear in the market) - cant help thinking there is an option strategy there.

cheers
VT

 

[sails]

Thanks for the feedback on the site RichKid. Yes I like the look of Option Oracle for position evaluation, has anyone tried it out yet?

The vol site will be an excellent resource for option market action, implied volatility and trade rankings. Web Iress is the only other source of IV that I know of (excl OO), but I havent found anything that offers volatility skews, put-call ratios or trade rankings.

Still working on the site design and processing but its getting pretty close to launch. Happy for all to check it out and kick the tyres at ...

http://www.impliedvolatility.com.au

UserID/PW is vtuser/vtpw if asked.

Interesting that IV's and put-call volume ratios are at their highest since the August correction. Aussie VIX is at 39%, previous high was 45% just before the US govt cut the discount rate. They consistently move in an opposite direction to the market (ie an index of fear in the market) - cant help thinking there is an option strategy there.

cheers
VT

VolTracker, thanks for the ID/PW - have visited occasionally to see how the site is progressing, but found I couldn't access much.

I downloaded OO last night and very impressed with it. Finally a way to get positions greeks - albeit based on the ASX theoretical prices which sometimes seem a bit strange. Nevertheless, it's a good step in the right direction and good for setting up paper trades too.

I am currently using the Hoadley Volatility surface to pick up skews - as I am only trading options on one share at the moment - it's not too difficult. If looking for wider opportunities, your site would be much easier.

Will be interesting to see how it does all pan out - especially with the high vol, p/c ratio and elections tomorrow...

Cheers

 

[RichKid]

Thanks for the feedback on the site RichKid. Yes I like the look of Option Oracle for position evaluation, has anyone tried it out yet?

The vol site will be an excellent resource for option market action, implied volatility and trade rankings. Web Iress is the only other source of IV that I know of (excl OO), but I havent found anything that offers volatility skews, put-call ratios or trade rankings.

Still working on the site design and processing but its getting pretty close to launch. Happy for all to check it out and kick the tyres at ...

http://www.impliedvolatility.com.au
...
...
...

Hi VT,
I've had a quick rush through and I have to say that's is looks great! Nice to have all the data in one place.

If I can suggest one thing it is to keep the layout and design as simple and as clean as possible. For a beta version it's very good imho and can only get better. Some of the charts could be improved if the data points and lines are made sharper, maybe that just requires a bit of tinkering with the chart options. The addition of a site map- in diagrammatic form would be great, perhaps under the FAQ section.

OptionsOracle- the interface and functionality is great, as sails says it does rely on ASX options data so we need to be careful but I think it is possible to vary some of the inputs manually??? eitherway it's a great little tool.

Nice work again there VT with your site, certainly lots of effort there and it's looking flash, nothing like it in Australia atm AFAIK.