1

Are there any inexpensive tools, web-sites or services you know of where one can see:

a) current implied volatility skew for an option chain

b) historic implied volatility skew

Thanks

2

for a) consider http://www.samoasky.com - they have a free tool called optionsoracle which allows you to download option chains for most markets automatically, and plot a "volatility smile", which you can then filter out for expiry, calls/puts etc.

for b) I don't know any tool, but I did write one myself in C# and Zedgraph, which was a timer animated client side tool. You might want to check http://www.hoadley.net/options/options.htm for some applications that could ease the job for you.

  • Thanks Deepak! Have you used samoasky? I'm wondering how likely it is to be free of spyware or viruses? – Ray K Dec 10 '11 at 1:49
  • I have it, and haven't had a virus on it (checked with Trend and AVG) and I've used it on multiple computers. It's also written in C#, btw. (Not associated with them in any way :) ) – Deepak Shenoy Dec 10 '11 at 4:54

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.