Volatility Arbitrage Screener

Find symbols where implied volatility is mispriced relative to realized volatility.

Screener results are algorithmic and for informational purposes only. Scores do not constitute trading recommendations. Past performance is not indicative of future results. See Terms §17.

Filter Criteria
Results Found

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Symbols matching your criteria

Avg IV Premium

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Average IV / realized vol ratio

Avg IV-RV Z-Score

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Average absolute z-score

Screening Results
Symbol Score Signal Strategy IV Rank Avg IV Realized Vol IV Premium IV-RV Z-Score IV %ile RV %ile Straddle % Opt Volume Vol %ile Price Beta Last Update Actions
Click "Screen" to find volatility arbitrage opportunities

Volatility Arbitrage Guide

What is Volatility Arbitrage?

Volatility arbitrage exploits the difference between implied volatility (what the options market expects) and realized volatility (how much the stock actually moves). When implied vol is significantly higher than realized vol, options are "overpriced" and selling premium strategies tend to profit. When implied vol is lower than realized vol, options are "cheap" and buying strategies may be advantageous.

How to Use This Screener

  • Signal: "Sell Vol" when IV-RV z-score > 1.5 and IV Rank > 50 — options are statistically overpriced. "Buy Vol" when z-score < -1.5 and IV Rank < 30 — options are statistically cheap.
  • IV Premium: Implied vol divided by realized vol. Values above 1.0 mean options are priced richer than actual stock movement. The sweet spot for selling premium is typically 1.2x or higher.
  • IV-RV Z-Score: How many standard deviations the current IV premium is from its 90-day average. Z-scores beyond +/-1.5 suggest meaningful mispricing.
  • Strategy: Suggested approach based on signal strength and IV regime. Straddles for aggressive positions, strangles/iron condors for defined risk.

Important Considerations

  • IV can stay elevated for good reasons — upcoming earnings, FDA decisions, or macro events. Always check the news and economic calendar.
  • Selling premium carries tail risk. Use defined-risk strategies (iron condors, credit spreads) rather than naked options.
  • This screener measures statistical mispricing, not guaranteed profit. Position sizing and risk management remain critical.