Volatility Screener
The IVR board — implied-vol rank, the IV/HV premium, and mechanically selected short-strangle candidates across a deep equity/ETF universe.
Purpose
The Volatility Screener hunts for rich options premium — names where implied volatility is expensive both relative to the asset’s own history and relative to how much the asset actually moves. It scans a deep universe of liquid US equities and ETFs (majors, sectors, commodities, crypto proxies, and leveraged/volatility products — 100+ names and growing) and displays a board of 25: a fixed set of pinned index/commodity/crypto majors plus the highest implied-vol-rank names from the rest of the universe.
The board, column by column
| Column | Meaning |
|---|---|
| IV | ~30-day at-the-money implied volatility, computed in-house from live option prices (Black-76 on the ATM call/put pair) so every name’s history is methodologically identical. |
| IVR | Implied Volatility Rank — where today’s IV sits inside the name’s own 52-week IV range (0 = at the low, 100 = at the high). |
| IVP | Implied Volatility Percentile — the share of days in the past year with IV below today’s. Robust when a single spike has stretched the 52-week range. |
| HV | Realized (historical) volatility over the recent window. |
| IV/HV | The variance risk premium — how much more the options market is charging than the asset actually moves. Above 1.0 the premium seller has a statistical tailwind; below 1.0 there is no edge no matter how high IVR looks. |
| Signal | The IVR verdict: SELL when elevated, RICH when extreme, blank when there is nothing to do. |
| Strangle (Put / Call / Credit / POP / Yield / DTE) | A mechanically selected short strangle for the name: ~45 days to expiry, standard monthly expirations only (deepest open interest), strikes near the one-standard-deviation (~16-delta) level on each side, highest-OI strike in the band. Credit is the combined mid, POP the approximate probability both legs expire worthless, Yield the credit annualized against spot. |
The lesson baked into the board: IVR alone lies
High IVR names frequently have IV/HV below 1 — the vol is high because the asset is genuinely moving, and selling it carries no premium edge. The genuinely rich names often carry unremarkable IVR. The screener shows both on purpose: the interesting rows are where both agree — elevated IVR and IV/HV comfortably above 1.
Cadence & universe
- Full board rebuild nightly after the US close; the displayed names’ strangle quotes re-refresh a few times intraday on trading days (US market holidays are skipped automatically).
- The scanned universe expands continuously through a throttled queue — new names start ranking once they accrue enough IV history for a meaningful IVR.
- Also available to agents via MCP:
get_vol_screener(the board) andget_implied_vol(the raw in-house IV feed for arbitrary tickers — the same engine that powers Athena’s Synth miner).
Short strangles carry undefined risk, and a high probability of profit is not positive expectancy. The board is a screening tool for people who already understand short-premium mechanics — it is not a recommendation to sell anything.