Scanning for Low Volatility Again

I'm going to open new positions in the delta neutral portfolio next week. Scanning for securities with the lowest implied volatility relative to a year and with sufficiently large stock price and open interest, I get:



These are the first ten stocks in the list with a year of price and volatility history (measured by the standard deviation of price):



And these charts show the price action of the same stocks over two months with the most interesting strike prices:



The best candidates for opening delta-neutral positions seem to be RAI at $65, NRG at $50, GOOG at $380, MON at $47.5, GFI at $20.

Categories: stock options, volatility
Technorati Tags: stock options, volatility