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In a message dated 98-01-17 18:01:48 EST, GJB21@xxxxxxx writes:
<< does anyone know where I can get daily updates of stocks whose options have
had increased implied volitilities (an increase in option volume) >>
You may be able to get what you need (for a fee) from Value Line.
They have a really huge spread sheet of ALL activelt traded stock and index
options that can be down loaded each morning into Excel. From the the
information provided you can calculate the implied volity of each option, then
using Excel's filter and sort functions to find the ones that meet your
criteria.
Please note however that implied volitility and option volume are
not related (was this a typo?). As you may know, the Black-Scholes formula
uses historic volitilite mesured by annual standard deviation as one of the
factors to calculate a theoretical option price. If one uses the actual,
current option price and solves for volitility the answer is the implied
volitility (the volitility that is implied by the current price). Volume is
not a factor in the equation.
Good luck and good trading,
Ray Raffurty
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