Data for volatility spread between Put and Call Options?
Author: mikesblack
Creation Date: 3/3/2016 11:05 PM
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I'll explain my objective with the paragraph that follows. Where can I find the relevant data to use ?
Simple trading strategy

The investment universe consists of firms from NYSE, Amex and Nasdaq with a liquid options. Volatility spread is calculated at the end of the day before earnings announcement. A single volatility spread measure for each stock in each day is calculated as a weighted difference between the implied volatility of matched put and call options by the average open interest of the call and put options in each pair. Options for which open interest is non-positive and trading volume is missing are eliminated.

In a backtest, each month, stocks were sorted into quintiles based on volatility spread between put and call options. This method cannot be used in a real trading as trader doesn't know volatility spread of all stocks at the beginning of month. However he/she could compare volatility spread of each stock to stocks which reported last month and decide which quntile would be appropriate.

Option liquidity is considered in a trading strategy. All option pairs written on a particular stock on the day preceeding the earnings announcement are divided into three groups based on the average liquidity of the option pair (measured by average bid-ask spread).

Investor goes long stocks with the highest implied volatility spreads on pre-announcement day (volatility spread measured by low bid-ask spread options) and goes short with the lowest implied volatility spreads on pre-announcement day. Each stock is held 2 days (on an announcement day and 1 day after). Portfolio is equally weighted and rebalanced daily, strategy is utilized on 50% to have manageable volatility.
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