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Russ wrote:
In one of your posts you wrote about the "20 day implied volatility from
S&P
Comstock Option Chain Screen". I don't know what the S&P Comstock Option
Chain Screen is. I have TradeStation and Excel. Can you tell me where I
can
get or compute the "20 day implied volatility"?
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I was working at a day trading firm that used S&P Comstock as its quote
vendor.The S&P Comstock service enabled you to pull up a screen called
the option chain. This was a page that would list all options on the
symbol that you entered. It also contained a Black-Scholes option pricing
component that among other things automatically calculated the 20 day
implied volatility. Most commercial quote systems now provide this
information. Unfortunately these systems are to expensive for home use. I
have not checked out any of the web based quote services for this data.
It probably is available now on the internet somewhere. PC Quote used to
provide it on their commercial systems. Also AT Financial supplied this.
Good Luck
Ron McEwan
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