Overview: A wide array of functions to assist in Volatility Trading. This repository was inspired from Sinclairs book, "Volatility Trading". I did not implement every function, only the ones I found useful in my trading experience. Some tools were inspired by my own experience. I hope to later on turn this into a Dash or Flask based website.
Implemented Tools:
Historical Volatility Measures:
- GermanHV
- ZhangHV
- Close to Close
Volatility Forecasting & Volatility Cones:
- Garch *needs to be completed
- Volatility Cone
Dispersion:
- Measures that are indicative of a profitable straddle based on Sinclair resarch
Future Implmentations:
- Get Implied Volatility
- Black Scholes valuation in C# (importable into the py environment)
- Hedging Tools
- Position Sizer and Portfolio Risk Management tools
- Historical IV data scrapper -> AWS database
- Convert Current Earning Historical Moves script into a realized Vol version
- Vol Surface Plot
- Total Options Market Scanner
- Mentions and Sentiment tools for Tickers
- Linear Model for Fundamental Factors, # of Earnings, and TA measures against realized Vol
- Relationship model between Companies in the same industry reporting on different days.
- Relationship model between All companies report realized Vol and remaining companies to report realized Vol. Ex: First 100 Companies Realized Vol against Remaining companies Realized Vol.
More to be added to the list.....