Implied Volatility Scan of the Week

I routinely run various scans on the market, looking for trading opportunities. Recently, I began sharing some of the results of these scans with subscribers to my e-mail newsletter. I thought I would also share with readers of this blog.

What follows is a portion of the data from an Implied Volatility scan I ran using Monday's closing data. It identifies stocks with IV hitting a new high for about the last year.

Historically High Implied Volatlity

Symbol (1)Low IV (2)High IV (3)Today's IV

XOM 16.51, 26.06, 26.06
WMI 16.02, 27.09, 27.09
USB 11.6, 19.39, 19.39

TWX 15.18, 27.13, 27.13
TASR 34.08, 88.44, 88.44
SGP 16.98, 32.78, 32.78

RTN 12.45, 22.56, 22.56
RDC 27.25, 49.44, 49.44
PRU 14.05, 23.79, 23.79

PCLN 25.51, 53.73, 53.73
PCG 12.51, 25.49, 25.49
OMC 14.76, 26.24, 26.24

MMM 14.2, 24.04, 24.04
MERQ 0.07, 88.19, 88.19
MEL 14.14, 30.59, 30.59

MBG 8.63, 106.13, 106.13
LMT 15.11, 25.69, 25.69
LH 13.95, 29.06, 29.06

This is a mechanical scan. The results of the scan have been NOT been verified. Before any trading decisions are made you do need to verify the accuracy of the data and take a closer look at the underlying stock to determine the reason why IV has reached a relative high.

For more information about Implied Volatility and how to use it in your trading, you might take a moment to read the following article:

Assessing Implied Volatility

If you find it useful, please let me know!

Trade well,

Christopher Smith
TheOptionClub.com