Select a date to view volatility outliers:
Latest Volatility Outliers: 10-14-2024
| record_date |
ticker |
last_price |
volatility |
prev_day_volatility |
percent_move |
avg_volume |
avg_price |
spec_perc_move |
time_period |
| 2024-10-14 |
BBAI |
1.86 |
0.460 |
0.440 |
0.150 |
4466717.5 |
1.5 |
0.000 |
65 |
| 2024-10-14 |
LBPH |
58.82 |
0.570 |
0.400 |
0.510 |
1040156.2 |
35.0 |
-0.090 |
65 |
| 2024-10-14 |
SLI |
2.05 |
0.520 |
0.490 |
-0.150 |
1287525.2 |
1.4 |
0.000 |
65 |
Symbols with yesterday's move greater than percentage move 0.15, avg volume over given period of time greater than 1.00 M,
and avg volatility less than 0.5; an outlier with relatively low volatility.
OR
Symbols with yesterday's move greater than or equal to the average volatility within 3mo time period, and avg volume over given period of time greater than 1.00 M.
| record_date |
ticker |
symbol |
strike |
volume |
open_interest |
implied_volatility |
bs_sigma |
bs_call |
bs_put |
spec_perc_move |
bs_iv_call |
bs_iv_put |
last_option_price |
last_underlying_price |
exp_date |
side |
bias |
| 2024-10-14 |
BBAI |
BBAI241115P00002000 |
2.00 |
3.0 |
36.000 |
1.406 |
0.289 |
0.0 |
0.1 |
-0.010 |
0.250 |
0.330 |
0.32 |
1.91 |
2024-11-15 |
PUT |
Long |
| 2024-10-14 |
LBPH |
LBPH241115P00040000 |
40.00 |
5.0 |
1.000 |
0.547 |
0.528 |
19.1 |
0.0 |
-0.090 |
19.130 |
0.010 |
0.05 |
58.99 |
2024-11-15 |
PUT |
Long |
| 2024-10-14 |
SLI |
SLI241115C00002500 |
2.50 |
103.0 |
1193.000 |
1.109 |
0.466 |
0.0 |
0.5 |
0.000 |
0.090 |
0.550 |
0.13 |
2.04 |
2024-11-15 |
CALL |
Long |
Note: If the percent move is greater than 198% the speculative percentage move is defaulted to -0.99 and further investigation is suggested.