Would it be possible to look into getting implied vol data for individual stocks? I’ve seen a few websites that have it (eg. www.alphaquery.com).
I think it would be a nice additional data point to go along with historical vol and short interest to filter out highly popular, highly volatile stocks (eg. ‘meme’ stocks).
Implied volatility is only available as part of an options package, and we’re not currently looking at acquiring that data. But thanks for the suggestion–we’ll definitely keep it in mind. Is there widespread interest in options data among P123 subscribers? I’ve seen very few requests for it.
For starters i would be interested in a line item that shows a stock is optionable. Has options or not.
I wrote a custom formula that gives me historical volatility. I could probably write one that gives me implied vol using Black-Scholes but haven’t gotten into it yet.
I am planning to import my own implied volatility and other options related measures/ratios as stock factors.
There are tons of measures that can be calculated based on options data.
I am not sure if that would help my strategies but I think it will.
This!
Implied vol is more predictive of vol than historical. So this is likely very valuable.
I would be interested in an options simulator not just options data. There are lot’s available but none of them do what p123 does for stocks. Just being able to simulate different implied vol on your options strategy would be amazing.
Most options simulators are $100 - $200 per month so it would be a new revenue stream for P123.
sthorson: you’d need the option price, historical vol =/= implied vol.
Also Yuval, I think you can buy historical options packages, which would include every ticker ever for under 100k, fixed cost. https://www.historicaloptiondata.com/ for example.
Might be worth looking into, if the historical data is a fixed cost and then going forward you suck down the data yourself through your brokerage (IBKR will let you do it for free) it could be a nice revenue stream with virtually zero ongoing cost after initial setup.
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Checking in on this again, I think there are providers that you could easily buy the data from and merge with the P123 database... you'd just want summary statistics of the options chain. For example, maybe there is a signal from overall options volume rising, or maybe at put call ratios etc.
Might be some low hanging fruit.