Include ATM 3 month implied volatilities to help with value discovery. Also need to know the volatility history.
11
votes
PAMELA SMITH
shared this idea
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Hans Berggren
commented
I would recommend including data for implied volatility, historical volatility, and the ratio of the two for an underlying. Perhaps using a graph. IV impact could be simplified into "low cost" and "high cost", perhaps, to address the "Valuation" suggestion below. (I'm sure you're factoring in IV in your scoring algorithms.)