We’ve added several new volatility-based entry filters for backtesting and automation. Enable "Use Underlying IV" and you can now specify a minimum and/or maximum for:
- IV Rank (IVR):Measures where current IV falls between its 52-week low and high.
- IV Percentile (IVP):Measures the percentage of daily IV readings over the past year that were below the current IV.
- 30-Day IV:Filter trades based on the underlying’s 30-day implied volatility.
- 9-Day IV:Filter trades using shorter-term IV that is more sensitive to near-term events and market conditions.
- IV 9D / IV 30D Ratio:Filter based on the ratio of shorter-term 9-day IV to 30-day IV.
- HV 30D / IV 30D Ratio:Compare recent realized volatility with current 30-day IV.
*Note: For
SPX and SPY
, IV Rank, IV Percentile, and HV 30D / IV 30D are now available. Other filters are already possible using the current VIX entry conditions.See full documentation here: https://docs.optionomega.com/backtesting/backtest-setup#use-underlying-iv