Relative Value Scanner
IV percentile vs SPY and sector, ratio mean-reversion and pairs trade generator. Identifies when a ticker's vol is statistically extreme relative to its peers.
What is Relative Value Scanner?
Relative Value Scanner The Relative Value Scanner compares a ticker's implied volatility against SPY and sector benchmarks, identifies statistical extremes via z-scores, and generates pairs trade candidates.
Why This Matters for Your Trading
How professional options traders use Relative Value Scanner to find edge.
Find Relative Richness and Cheapness
A ticker might have IV rank at 50 — middling on its own. But if its IV/SPY ratio is at the 95th percentile, it's extremely rich relative to the market. That's your edge.
Trade Pairs for Market-Neutral Vol
The pairs generator matches rich tickers against cheap ones with adequate correlation. Sell vol on the rich, buy on the cheap — your P&L comes from the spread normalising, not market direction.
Quantify with Z-Scores
Z-scores tell you how many standard deviations from the mean the ratio sits. Above +2 is a statistical extreme that tends to revert — the entry signal for relative value trades.
See It in Action
IV/SPY ratio time series with mean and z-score bands
Rich vs cheap pairs matched by correlation and spread width
Key Features
Ratio History
IV/SPY ratio time series with mean and z-score bands
Mean Reversion Scanner
Market-wide scan for extreme deviations
Pairs Generator
Rich vs cheap matching with correlation data
Z-Score Ranking
Statistical significance quantification
How It Works
Select ticker
Enter any US stock or ETF
Review data
Analyse the key metrics and charts
Identify signal
Find the actionable insight
Execute
Use the signal to inform your trade
Use Cases
Find a pair with the rich ticker at +2 z-score and the cheap at -1. Sell strangles on the rich, buy strangles on the cheap.
Track a key ticker's ratio vs SPY over time. Enter short vol when the ratio hits the 90th percentile, cover at the median.
Frequently Asked Questions
What benchmarks are used?
Each ticker is compared against SPY (broad market) and its sector ETF (e.g. XLK for tech, XLF for financials). Both ratios are tracked with z-scores and percentiles.
How are pairs selected?
The scanner identifies tickers at opposite IV rank extremes, filters for minimum correlation (ensuring the pair moves together), and ranks by spread width and mean reversion probability.
Related Features
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