TradeStation Help

Position Search Wizard/Format Search - Volatility

The Position Search Wizard/Format Search - Volatility dialog allows you to select a volatility assumption for each underlying asset that is included in your position search. Underlying asset volatility has a great impact on the value of its corresponding options. The Position Search uses the volatility, holding period, and underlying asset target price values to calculate theoretical options prices. For more information on volatility, see About Volatility.

You are able to obtain volatility for an option once the position(s) has been entered into the Position Analysis window. This is done by applying a volatility indicator that calculates and displays an option's volatility (e.g., Model Volatility Opt).

 Before making your selections, make sure that the underlying asset symbol you selected is displayed in the Asset list. If not, click Back until you to return to the Underlying Asset step of the Position Search wizard and select the correct underlying asset symbol.

 Access from the Position Search Wizard/Format Search - Costs / Capital, or Format > Search and select the Volatility tab.

Volatility Assumptions  

Contains the volatility assumptions available for your position search.

• Use the current volatility for each underlying asset - Select this setting to calculate volatility based on the most current data available from your data provider.
• Use a volatility range of [ ] % above and below the current volatility - Select this setting to calculate a range of high and low volatility based on the most current data available from your data provider. This provides you with an accurate base if you want to use a range of high to low volatility for your position search. The default percentage is 10% but you can enter a different number in the % box.
• Specify a range of volatility for each underlying asset - Select this setting to enter the desired high and low volatility assumptions. Use this setting when there is no current volatility available, or you expect a big swing in volatility and want position search to identify positions that would take advantage of that swing. If you enter volatility assumptions because current volatility is not available, you should try to obtain the most accurate and recent volatility for the underlying asset on which this position search is based on. In the High Volatility box, enter an appropriate value. In the Low Volatility box, enter an appropriate value. Once you have entered both volatilities, you will see the high (% above) and the low (% below) volatility displayed in the High Volatility and Low Volatility boxes.

 From the wizard, click Next to proceed, Back to display the previous dialog, or Cancel to exit without changes.

 From the Format > Search menu sequence, click OK to apply changes or Cancel to exit without changes.