Historical IV Now Available in the Options Scanner

This week, we rolled out yet another upgrade to the Wheel Strategy Screener. Now, when you use the scanner to find wheel stocks, you’ll see not only the Implied Volatility (IV) but also Historical Volatility (HV). This new feature added several new columns to the results produced by the Options Scanner: IV (30), HV(30/60/90), IV Rank, and IV Percentile.

Plus, you can filter your scans by minimum or maximum IV Rank or IV Percentile. Or you can screen to IV(30) greater than/ less than HV(30), HV(60), or HV(90).

These new data points are incredibly powerful because they make it easier to give context to the Implied Volatility of a stock you’re considering for a wheel trade. IV is an advanced topic that warrants an entire article devoted to a deeper explanation of these terms and how to use them to find the best high-premium covered calls and wheel strategy trades.

Stay tuned for that article, but we wanted to let everyone know that these features are now available.

Here’s a screenshot of cash-secured puts over the next several months on The Magnificent 7:

To produce this scan, I set a filter to screen the results to a max IV Percentile of 75% with a max delta of -0.4, at-the-money +1 strikes only.

Deeper Dive into IV Terms

Let’s dissect one of these positions from the options scanner. This cash-secured put for META expires on 9/27/24 at a strike price of $555. It offers a 1.3% return but a 79% annualized return (compounded) because we’re only 8 days from expiration at the time of this writing.

• The IV of META through the expiration of this contract is 30%.
• If you reference our article on What are the Best Stocks for the Wheel Strategy, you’ll note that we suggest mid-to-low volatility. So, is a 30% IV high or low for META?
• When we jump over to the HV(30/60/90) column, you can see that the IV is higher than the last 30 days but below the previous 60 or 90 days.
• Remember that 50% is always the middle IV over the previous year when evaluating the IV Rank. This position has an IV Rank of 19%, which is on the lower end of the META IV from the past year.
• IV Percentile shows the number of days over the previous year that had a lower IV than it is currently. For the position we’re evaluating, 28% of the days from the previous year had a lower IV than it is currently.

Do You Have to Use IV and HV to Pick Wheel Stocks?

Don’t get overwhelmed and fall victim to analysis paralysis. There are different ways of finding high-premium trades that will work for covered calls and wheel trades. Some people might use IV and HV, others may not. The point of providing this data and setting up filters for the options scanner is so that you can use it to find positions that make sense for the way you trade. Getting all this information any other way is too labor-intensive to be practical. Ultimately this is just a research tool and data points that can help you make more informed decisions.

Try Premium Pirates for Free

If you haven’t already done so, you can sign up for a 14-day free trial of Premium Pirates. The trial is fully functional, so you can explore the new IV features in the scanner and see if it works for you.