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What is the
Volatility Edge?
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Essential implied volatility data, resources and tools for successful option trading....


Australia's First Volatility Index Volatility Charts Implied Volatility Surface Implied Volatility Skew Maps Implied Volatility Percentiles Implied Volatility Seasonality Option Spread Analysis Fully Customisable Trade Ranking System Covered Call and Written Put Trade Rankings Credit & Debit Spreads, Calendar Spreads & Butterfly Spreads

News Release - ASX lists weekly options

The ASX announced that it is listing weekly expiring options from 18 October. For the full article go to: http://www.asx.com.au/products/equity-options/weekly-options.htm

Initially, the weekly options will be available for the following indices and stocks:

  • XJO - Australian S&P200 Index
  • ANZ - Australia and New Zealand Banking Group
  • BHP - BHP Billiton
  • CBA - Commonwealth Bank of Australia
  • FMG - Fortescue Metals Group
  • NAB - National Australia Bank
  • TLS - Telstra Corporation

We have been working hard to make to prepare Volatility Tracker for the new weekly option series. The Strategy views and Trader Rankers have been modified to work with the new weekly options. However please let me know if you see anything that doesn't look right at Volatility Tracker.

 

Welcome to Volatility Tracker...

Option trading resource dedicated to providing traders of Australian Exchange Traded Options (ETO`s), with access to volatility analysis and option trade selection tools essential to long term option trading success.


Volatility and the underlying share price are the major factors affecting the profitability of most option positions. Time decay also becomes more important as the expiry date approaches. However, many beginner traders concentrate only on potential price movements of the underlying share, while ignoring the impact of changes to implied volatility. This is a mistake and successful option traders understand the nature of implied volatility risk and how it can effect the profitability of their option strategies.


Our goal is to provide you with a sustainable option trading edge through advanced measures of implied volatility, implied volatility percentile, historical volatility, option trade rankings and other volatility skew analysis and trading tools.

What`s Here for Option Traders & Investors?

Volatility Tracker provides the following option trading tools and resources:

 

  • ASX exchange traded option market summary statistics
  • ASX exchange traded option market volatility index (`the Aussie VIX`)
  • ASX exchange traded option market put/call volume ratio
  • implied & historical (realised) volatility charts for volatility analysis
  • implied volatility smile and term structure
  • implied volatility skew surface 3-D charts
  • implied volatility seasonality
  • implied & historical volatility percentile tables
  • intraday implied volatility skew maps
  • intraday option strategy pricing & evaluation
  • put/call volume & open interest ratios
  • stock ranking by option market volatilities and statistics
  • covered call & written put ranking
  • credit & debit spread ranking
  • calendar & butterfly spread ranking
  • straddle ranking
  • advanced option fair value, `greeks` & implied volatility calculator
  • customised, automated trade ranking and scanning service available
  • custom built datafeeds for Option Vue
  • downloadable historical implied volatility data
  • customised historical option prices, implied volatility and greeks data available by enquiry
  • option strategy backtesting service
  • PLUS many more volatility trading tools under development

 

Volatility Tracker has a comprehensive and well maintained database of option price and trade data. The database extends back to July 2004.

 

Prices are based on daily bid/ask quotes so that they exactly match the underlying share price. Implied Volatility is calculated from the mid point of the bid/ask spread, using accurate dividend and risk free interest rate assumptions. In addition to implied volatility, the relative cost of individual options compared to a database of past implied volatility is calculated (i.e. the `percentile method`).

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Most Active ASX Option Stocks
Friday, 2 December 2016 at 3:15 pm
StockVolumeIV%HV20%
XJO2038414.4716.81
FMG1604044.7356.89
CBA1530416.3221.1
BHP1443130.0944.35
ANZ1221917.8322.35
TLS1180016.4719.63
IPL1176029.5348.8
NAB1040117.3431.85
ORG1036231.5632.54
CPU993022.5842.53
STO968544.0654.92
NCM967642.2757.93
WFD868020.3819.55
WBC805517.5226.33
BXB596621.8126.28
RIO592426.840.92
WPL417925.5525.09
QBE375526.5345.71
AWC344937.3144.11
CSL335821.2426.71
Top 10 Ranked Trades
Call OptionCreditReturn(%)
SGP Jan17 4.30.0554.25
SGP Jan17 4.310.0554.25
SYD Jan17 6.260.0953.74
SGP Jan17 4.410.0303.63
TCL Jan17 10.260.1303.6
SGP Jan17 4.40.0253.5
SYD Jan17 6.250.0753.4
SGP Jan17 4.510.0203.38
SGP Jan17 4.610.0103.14
SGP Jan17 4.50.0103.14