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razv has contributed to 4 posts out of 20005 total posts (0.02%) in 3,278 days (0.00 posts per day).

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Data and Content Support » SPX implied volatility Mar 12, 2012 12:15 PM (Total replies: 5)

that is the implied volatility of ATM options, which is different from the VIX, because any quote (on BID or ASK) can trigger a trade.
For the CBOE's VIX one would can put a quote deep out of the money just to get a higher/lower VIX. On page 6 of this document (www.cboe.com/micro/vix/vixwhite.pdf) you can find how the VIX is calculated and how deep OTM options can influence the VIX.
It would be great if DTN could offer a symbol for the SPX IV (which is the implied volatility of ATM options)

Data and Content Support » SPX implied volatility Mar 12, 2012 11:26 AM (Total replies: 5)

I was not referring to the VIX.
I attached the SPX implied volatility. Here is a print screen of the SPX implied volatility from InteractiveBrokers (last 2 days). You can see is very different from the VIX, which at one point today was -10%.
I would like to get this from your feed in order to render the graph in InvestorRT.

IQFeed Developer Wish List » put/call ratio Mar 10, 2012 05:10 PM (Total replies: 0)

I would be interested in the put/call "dolar weighted" ratio.
For example:lets consider 10$ calls for BAC are quoted for 1 cent and someone buys 1000. 8$ put on BAC goes for 25 cents and someone buys 50.

A normal put/call ratio is 50/1000 = 0.05
The put/call "dolar weighted" ratio is 12,5$/10$ = 1.25

Data and Content Support » SPX implied volatility Mar 10, 2012 06:49 AM (Total replies: 5)

is there a symbol for the SPX implied volatility?

thanks


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