As a subscriber to our IVolatility.com services which are powered by end-of-day data, you might be interested to know how our Intraday Options Scanner can benefit you.

For a quick overview of our new Intraday Services, you might want to take a look at our Intraday Services intro page. Here we will provide some hints for our existing end of day (EoD) services subscribers – you will see how our premium Intraday Options Scanner can be used to provide you with similar functionality that you are getting now from our EoD services but using intraday (20-minute delayed) prices!

There is one temporary limitation in our Intraday Options Scanner – our market coverage is currently limited to about 560 equities (about 55,000 options contracts total). At the moment we cover all components of the SPX and NDX plus some US indexes and HOLDRS (NDX,DJX,OEX,XLF,DIA,QQQ,SMH,BBH,OIH and SPX)

Volatility ranking - Advanced Ranker Live

Most valuable Advanced Ranker functionality – looking for top and bottom IV index changes – this is available in our Intraday Scanner as well. Just select ‘IVX 1m’ field of the advanced view and specifiy ‘% of yest.’ as a modifier. You can also look for stocks hitting IV Index 1-year high/low range boundary – just select ‘in 1 yr range’ modifier.

Fig. 1 Options Scanner Advanced Search view - finding over-priced stocks.

The Scanner goes well beyond the Advanced Ranker functionality - you can use it to find over/under-priced individual options contracts. You just need to specify desired implied volatility range using 'Implied Vola' parameter in the 'Option filter' section.

Advanced Search view of the Intraday Scanner gives you an ability to search for IVX Call/Put ratio as well – Call/Put volatility skew.

Strategist Scanner subscribers can benefit from the Intraday Scanner the most. If you are writing a Call or selling a Put one of the most important characteristics you are looking at is contract implied volatility. You can use both the Basic and the Advanced Search view and specify either Cost (Basic Search view) or Implied Volatility (Advanced Search view). As a matter of fact, when you launch Intraday Scanner, the default filters are tuned to search for best candidate for a Call Writing Strategy (Dear contract cost with Moderate risk):

Fig.2 Basic Search default parameters - find Covered Call candidates

Adding filters by liquidity (such as bid and ask size or options volume) will show you if your strategy can be realized given the current market conditions.

Finding Calendar Spread options - Spread Scanner Live

Though our Intraday Scanner is not able to search for a 2-leg position you can still use it when looking for Calendar Spread opportunities. Usually what you’re searching for is a difference in implied volatilities of the Spread legs – there are 2 filters available that serve this purpose. You can either look for a ratio of the 30-day IV index to 180-day IV index or for their difference (“IVX 1m/IVX 6m” or “IVX 1m-IVX 6m” fields):

Fig. 3 Looking for Long Calendar Spreads (sell high volatility, buy low)

Above you see the search result screen – it looks like the CAH options are the best candidate for a Calendar Spread, Time Skew chart (charted over live data) proves your choice.

Fig.4 Long Calenadar Spreads opportunities found.

Basic Options Page / Advanced Options Page Live

Intraday Options Scanner covers much of these services functionality (and provides much more). You can look at the full option chain for selected security along with option contract implied volatilities, Greeks, bid/ask quotes, volumes etc. Intraday IV index is also available for 30-day and 180-day horizons (see Fig.4).

Updated through out the day Price and Time Skew volatility charts are available as well:

Fig. 5 – Intraday Scanner Price skew and Time skew charts.

As you can see the Options Scanner is a pretty powerful tool. To find out more details about the Scanner please download Scanner Service Guide (Adobe Acrobat Viewer required).

You’re welcome to judge for yourself how useful the Scanner would be for you in your trading – subscribe for a free 2-week trial now. After this trial is over, you would be charged the regular monthly fee - $59.95, unless you let us know that you would like to remove it from your services.