Optionetics Platinum Help- Create A Rank List

Create A Rank List allows the user to create tables of stock options ranked according to various criteria shown on the web page.You can CHAIN rankings. For example:

Create a ranking from all stock options, of explosive stocks.
Save the top 500 to List 1.
Starting from List 1, find the "cheap options" in the sense of low IV/SV.
Save the top 100 of this rank to List 2.
Starting from List 2, find the "cheap options" in the sense of low percentile (ie, IV low relative it's past).
Save the top percentile of this ranking to List 3.
Go to the Edit My Searches and search List 3 for long straddles.

The link, above, shows an example Create A Rank List web page.

The first line in the Ranker options says "input from". This is the source of stocks that are input into the ranker. It can be changed to anything in the select list next to "input from" including a rank list that you may have just created. When you click the input from selector notice you are in the middle of the possible selections. Many users miss the fact that you can slide the selector bar and there are many powerful input lists at the top of the input from selector such as "All Stock Options" as shown below:

Input to Ranker Type comes from

You can choose the input file you want the ranker to process. Your options are:

All stock options. . Every stock we have in our database is ranked. This can take a while. Avoid ranking all stock options using the first three ranker types. Instead, screen the list using the other rankers and save say the top 500 into List 1 then input List 1 into one of the top three Ranker Types.
All index options. Only the index options are ranked.
All index and stock options. All the data we have online is ranked. See 1) above.
Top 500 stocks by volume. Create A Rank List uses the top five hundred stocks ranked by volume. The volume ranking is at a date in the past when the web site master stock list was updated.
Top 1500 stocks by volume. We have over 2700 stocks online, and this option narrows the search to those actively traded.
My Stock List.. Click Chg My Stk List on the Options Analysis site Welcome page. The bottom of the Chg My Stk List web page allows you to input a stock list that can then be accessed throughout the web site. My Stock list can only be changed by the Chg My Stk List web page. If you enter a stock symbol in the Welcome page text box, that stock is added to My Stock List. Create A Rank List can change the next nine stock lists.
Rank List 1. If you used Create A Rank List to make a ranking and stored it in a lists, you can use the list as input into the next Create A Rank List search. This process is called chaining.
Rank List 2. You can select up to 9 lists.
Rank List 3. These lists are saved and available when you log back on to the web site.
Rank List 4.
Rank List 5.
Rank List 6.
Rank List 7.
Rank List 8.
Rank List 9.

The second line in the Ranker says "output goes to". This is where the rank list being created by the Ranker is saved. You can select which list to use using the selections on the second line. The third line in the Ranker provides you with control over how many stocks are saved in the output list chosen in the second line.

If you press a ranker button with a B at the end, the blue B in the third line controls the number of stocks saved and you can select that number in the blue B select list. Percentile IV is the exception. Percentile IV output is controlled by the blue A button. The outputs for IV percentile occur in 20 categories and you can select how many of these categories you want to save in the output list. Usually you save only a few top categories.

Once you have created a ranked list, you can use that rank list as input and choose a different rank list as output and "chain" your searches through a series of different ranker criteria.

The free IV stock list, available on the Optionetics Platinum home page, uses the Cheap Options and Expensive Options button selections from this Create A Rank List web page to rank the stock options. The Optionetics Platinum home page ranks are defined via the "IV High-Low" past IV performance selection. The different Create A Rank List buttons are explained below.

The output of Create A Rank List is a table that has various links. Clicking on a Create A Rank List output table IV link, takes you to the Risk Graph on the date the high or low IV value occurred. Clicking on the "Latest" or the stock name link, takes you to input date's Risk Graph.

This ranker determines if option volatility is low relative to past values of Implied Volatility (IV). Option ranking uses your selection located on the web page at on the Cheap button row to sort the stock options. Your choices are

IV percentiles
IV high-low
IV relative to SV
Bollinger IV

These IV ranker options are explained below.

This ranker determines if option volatility is high relative to the past. Option ranking uses your selection located on the web page on the Expensive button row to sort the stock options. Your choices are the same as Cheap Options above.

Quiet stocks are determined by taking the ratio of the short term SV divided by the long term SV. The lower the term, the less volatile the stock has been recently, relative to the past. SV means statistical volatility and is the amount of up and down movement the stock price, itself, has performed over the time period being used. SV is explained in Chapter 2 of the Optionetics Platinum help manual. The defaults are 4 day SV / 90 day SV. You can change the days value to other numbers.

"Unity" is an important SV selection option. The "Unity" selection allows the user to rank on SV without using an SV ratio, as explained below.

Explosive stocks are determined by taking the ratio of the short term SV divided by the long term SV. The higher the term the higher the stock volatility has been recently, relative to the past. SV means statistical volatility and is the amount of up and down movement the stock price, itself, has performed over the time period being used. Explosive can mean going up or going down. It is not all bullish or all bearish, and can even be sideways volatile movement. The defaults are 4 day SV / 90 day SV. You can change the defaults to other numbers.

Bullish stocks are found by taking the ratio of the puts to the call volume. The higher this ratio, the more people are trading puts and not trading calls. This is a contrarian indicator. If the stock price does rise, all these put buyers will have to sell the put at a lower value or cover the put by buying the stock. The stock price is likely to rise as a result of the need of these put buyers to buy the underlying stock.

Bearish stocks are found by taking the ratio of the puts to the call volume. The lower this ratio, the more people are trading calls and not trading puts. This is a contrarian indicator. If the stock price does fall, all these call buyers will have to cover the call and sell the stock. The stock price falls even more and the call selling increases.

For this ranking, we form a set of Bollinger Bands around the current value of implied volatility. A bollinger band is simply found by determining the standard deviation of the prior N days of implied volatility data, and then taking the current value and adding 2 * the standard deviation to create the upper band, and subtracting 2 * the standard deviation to create the lower band.

After constructing the Bollinger Bands, we look and see where the current IV is in relation to the upper and lower Bollinger Band. The stocks that have a strongly increasing IV will be in many cases OVER the upper band. This usually indicates that IV is high relative to the past. Likewise those stocks in the low band probably have a low IV relative to the past.

You can control the days to use to create the sigma value and you can choose high or low by using the Expansive or Cheap buttons.

The ranking results can be saved in 1 of 9 List. These lists are permanently saved online until you change them again. The number saved can be chosen as you desire. The reason you may want to save fewer stocks in a List is you can feed the Create A Rank List's list output to the search engines on the Welcome Page. The shorter the Lists, the more likely all the stock option combinations in the lists are searched to find the best option plays. The Create A Search and Quick Search engines limit the number of option combo searches to 2000.

If you use the Percentile ranker type, then the number of stocks saved is determined by the categories option, A. All the other ranker types use the B option to decide how many stocks to save in the output lists. The A and B selections are shown below.

Number of stocks in output A: or B:

"Top category" is bin 1 for Cheap options and bin 20 for expensive options. If you have only a few input stocks to be used for ranking, choose "All Categories" to see what categories your stocks fall into. The 20 percentile bins are discussed next.

There are three ways to rank options as expensive or cheap. In IV percentiles, past option values are grouped in bands of percentage, the top 5%, the 95-90 % band, the 90-85% band etc. A percentile band is assigned a number from 1 to 20. A "1" means IV is at all time lows (the bottom 5%), while a "20" means IV is at all time highs (the top 5%). All stocks at a given rank number are equivalent.

Today's implied volatility is then placed in a percentage band and stock options are then ranked based on the percentage band today's implied volatility occupies. Percentiles are insensitive to bad data, which can corrupt the IV High-Low option.

High and low priced options based on implied volatility are found with the IV High-Low option. The option IV is checked to see how close it is to the highest high and the lowest low. The stocks are then ranked based on their high/low status.

Option ranks are defined via

How far in the past we find the highest IV and lowest IV is chosen using the past performance selection. The values in "the past" are 7-150 day, 7-30 day, 30-60 day, 60-90 day, >90 day, short term, long term. 7-150 days is the default value. This means all options that expire between these two dates are searched to find the high and low IV values.

Search options

Two other possibilities here are Short-term and Long-term.

What we have found, is that the 3-30 day selection, for example, may not have many stock options satisfying the criteria. So what you can do instead is select "short term". This means that if there are no 3-30 day options, then use the 30-60 day number. If there are no 30-60 day options then use the 60-90 day number. Likewise, "Long-term" means to start at "greater than 90 day" and work backwards. "Short-term" and "Long-term" are always guaranteed to have a number for every day.

In Ratio of IV/SV, the IV is compared to the 4, 10, 20, 90 or unity SV value by dividing them. A stock option is judged to be expensive when the IV is higher relative to the SV. SV is statistical volatility and IV is implied volatility. Look at the keywords definition list in Chapter 2 of the help home page for more information on these concepts.

Ratio of IV / SV*

The put volume is divided by the call volume to create the put to call ratios. All of that day's put and call options volume are each summed to obtain 1 volume number for the calls and 1 for the puts. If today's total volume is less than 0.25* (30 day total volume median) then that stocks volume data is not used in the put/call ranking. The objective is to screen out bad volume data on a day-to-day basis. Stocks with bad volume data will rise to the top of the put/call ratio.

The put/call ratio is a contrarian indicator. If too many investors are interested in the puts then you should be buying calls and vice-versa. The total volume screener, defaulted to 1000, allows you to only ranked stocks with high liquidity.

The relative put/call volume ranker compares today's data to the 30 day put/call ratio median.

"Bullish" is defined via
"Bearish" is defined via

The stock price filters allow you to screen the stocks searched based on high and low stock closing price. To search all stocks, use 0.5 for the minimum and 9999 for the maximum. These two selections should be your first ranking in a chain. Here is an example for using the stock price filter selections:

Search stocks priced >
Search stocks priced <

Decide the price range of stocks you wish to search over, like 20 to 80.
Select "All Stock Options" as the input list
Pick Unity SV / Unity SV as the ranker. This causes the system to default to a volume ranking with the price range as a filter.
Select how many stocks in B you want to keep, like say 500.
Select the explosive button. The stock ranking filtered only by price range will happen quickly.
The output of this ranking forms your first ranking list that you can input into the next ranking to form a chain of stock lists rankings.

The Create A Rank List uses historical data to help perform the sorts. You can control how far in the past the historical data extends using this option.

Use of option data.

The statistical volatility (SV) calculations use historical stock price data to compute the SV. You can control the number of days used in the long-term statistical volatility (SV) and the short-term statistical volatility, using the selections shown below. Avoid making the short-term selection longer than the long-term selection.

The "Unity" selection allows the user to rank on SV without using an SV ratio. The Unity selection inserts 1.0 for the SV in the ranking ratio, when chosen. For example, assume you would like to find stocks that have been quit for a long time. Choose 90 day for the Short term SV and Unity for the Long term SV and click the "Quit Stocks" button. This combination ends up sorting the 90 day SV, of the input stock list, putting the lowest values at the top. If you would like to find stocks that are having large movements over the last 90 days, again choose 90 day for the Short term SV and Unity for the long term SV, but this time click the "Explosive stocks" button.

Short term SV
Long term SV

The volume selection only applies to the Put to Call rankings. The Bullish and Bearish button rankers, which use the put to call ratios (PC), use the selection shown next to screen out stocks that have put and call total volume less than the selected number.

Total volume is greater than .

You can direct the output to be text format as opposed to web page HTML output using the option shown next. Text output can be saved to your computer and used by your own programs, such as EXCEL, for further processing.

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