3.5
Implied Volatility
PYTHON PLUGIN
Stocks
Volatility
Description
Strategy 3.5: Trade IV vs HV divergence
Strategy Logic
Strategy 3.5: Implied vs Realized Volatility.
Trade stocks where implied vol (IV) diverges from historical/realized
vol (HV). Buy when IV < HV (options cheap, expect vol expansion),
sell when IV > HV (options expensive, expect vol contraction).
Expects 'implied_vol' column in data. Falls back to comparing
short-term vs long-term realized vol as a proxy.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| hv_lookback | 252 | int |
| iv_hv_threshold | 0.2 | float |
| short_vol_lookback | 21 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 5.0% |
| Stop Loss Pct | 4.0% |
| Take Profit Pct | 8.0% |
| Max Drawdown Pct | 12.0% |